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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July NY Harbor ULSD(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   25 28 30 30 32 33 34 34 34 34 34
Closed Higher   20 15 16 13 16 13 15 16 25 24 17
Exceeded High   17 14 12 10 12 12 12 15 24 19 10
Scenario Percentage   85% 93% 75% 77% 75% 92% 80% 94% 96% 79% 59%
Avg Max Increase   9.15% 6.66% 8.31% 9.75% 10.06% 10.05% 10.51% 11.99% 10.99% 9.79% 8.68%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 21.36% 27.58% 25.97% 41.58% 27.23% 16.25%
Avg Days To Max Increase   14 14 16 21 15 17 12 14 15 15 17
Avg Max Decline   -0.54% -0.84% -1.83% -2.15% -1.85% -1.98% -1.71% -1.44% -2.16% -2.95% -1.57%
Max Decline   -7.21% -6.28% -8.40% -4.74% -8.27% -7.42% -6.29% -5.57% -6.96% -16.05% -7.53%
Avg Days to Max Decline   8 9 5 11 6 13 5 7 8 8 7
2013 Contract Condition   Yes Yes     Yes   Yes   Yes    
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   25 28 30 30 32 33 34 34 34 34 34
Closed Lower   5 13 14 17 16 19 19 18 9 10 17
Penetrated Low   4 8 11 15 13 15 13 13 8 7 13
Scenario Percentage   80% 62% 79% 88% 81% 79% 68% 72% 89% 70% 76%
Avg Max Decline   9.94% 11.91% 10.32% 12.29% 13.81% 13.52% 12.08% 6.68% 8.79% 8.40% 6.23%
Max Decline   22.93% 37.63% 40.47% 38.60% 29.86% 38.04% 35.18% 20.99% 15.36% 21.22% 11.07%
Avg Days To Max Decline   19 20 14 17 19 19 15 13 16 15 15
Avg Max Increase   -3.52% -2.29% -1.13% -2.10% -1.40% -3.58% -2.30% -2.40% -2.88% -3.62% -1.85%
Max Increase   -8.51% -11.01% -5.67% -5.82% -7.39% -11.13% -6.56% -11.47% -5.99% -8.06% -8.98%
Avg Days to Max Increase   19 18 7 7 10 8 7 11 6 15 4
2013 Contract Condition       Yes Yes   Yes   Yes   Yes Yes
Action       Yes Yes   No   Yes   No Not Yet
High 277.40 292.20 309.00 312.43 307.29 304.41 305.68 311.82 322.05 306.36 307.89 295.15
Low 259.50 269.74 284.34 293.00 291.18 290.00 290.47 296.20 299.41 295.00 272.77 275.78
Close/Last 274.79 285.79 307.62 301.61 296.07 303.13 300.17 311.73 300.75 302.80 284.00 278.14

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