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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March NY Harbor ULSD(NYM) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   21 24 25 31 32 32 32 32 32 32 32
Closed Higher   17 17 12 16 20 17 20 17 14 18 11
Exceeded High   17 14 10 16 17 16 16 13 11 16 7
Scenario Percentage   100% 82% 83% 100% 85% 94% 80% 76% 79% 89% 64%
Avg Max Increase   10.89% 7.67% 9.90% 9.88% 11.17% 9.58% 8.55% 11.21% 16.22% 12.33% 12.08%
Max Increase   42.43% 29.78% 25.61% 24.85% 62.05% 33.12% 23.00% 25.47% 34.25% 41.13% 26.53%
Avg Days To Max Increase   18 17 20 17 16 17 14 19 15 17 16
Avg Max Decline   -2.14% -1.86% -1.49% -3.36% -1.06% -2.08% -2.25% -2.57% -2.21% -3.37% -2.22%
Max Decline   -8.64% -7.69% -5.71% -17.69% -8.00% -10.58% -10.07% -8.35% -8.24% -13.01% -9.43%
Avg Days to Max Decline   13 7 8 13 9 9 7 14 4 9 5
2011 Contract Condition   Yes Yes     Yes   Yes   Yes Yes Yes
Action   Yes Yes     Yes   Yes   Yes Yes Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   21 24 25 31 32 32 32 32 32 32 32
Closed Lower   4 7 13 15 11 15 12 15 18 14 21
Penetrated Low   2 4 8 12 6 9 8 13 18 12 12
Scenario Percentage   50% 57% 62% 80% 55% 60% 67% 87% 100% 86% 57%
Avg Max Decline   2.47% 4.56% 8.46% 5.05% 8.50% 10.87% 12.56% 15.04% 11.83% 15.76% 9.74%
Max Decline   2.98% 5.86% 17.48% 12.04% 23.72% 39.41% 42.24% 42.17% 29.99% 37.84% 20.51%
Avg Days To Max Decline   12 18 14 18 16 18 16 18 20 16 15
Avg Max Increase   -2.00% -3.36% -1.47% -2.20% -3.63% -2.87% -1.86% -2.65% -3.97% -3.63% -2.60%
Max Increase   -2.05% -5.79% -8.44% -7.59% -12.77% -14.75% -6.12% -7.75% -12.74% -14.44% -11.57%
Avg Days to Max Increase   15 12 3 12 13 17 10 9 15 12 4
2011 Contract Condition       Yes Yes   Yes   Yes      
Action       No Yes   No   No      
High 226.38 233.75 250.89 254.67 230.50 222.31 233.55 231.38 238.00 247.25 256.74 275.94
Low 206.10 220.96 237.85 202.90 212.62 206.47 204.08 209.75 224.63 226.00 233.73 247.50
Close/Last 222.91 233.75 250.81 217.73 217.07 222.31 209.35 231.29 228.18 234.13 254.85 274.03

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