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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August NY Harbor ULSD(NYM) as of Jan 01, 2013
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   24 27 27 28 29 30 31 33 33 33 33
Closed Higher   12 12 13 12 13 13 15 24 23 17 16
Exceeded High   10 10 8 9 12 10 14 23 17 12 14
Scenario Percentage   83% 83% 62% 75% 92% 77% 93% 96% 74% 71% 88%
Avg Max Increase   7.53% 7.01% 9.84% 10.13% 9.47% 11.59% 12.35% 11.07% 10.50% 11.02% 6.42%
Max Increase   25.68% 17.53% 19.33% 18.14% 19.50% 28.10% 23.37% 41.95% 30.49% 24.23% 13.78%
Avg Days To Max Increase   14 15 25 14 17 11 14 17 16 17 17
Avg Max Decline   -1.28% -2.04% -2.51% -1.19% -1.96% -1.71% -1.28% -2.41% -2.85% -2.79% -1.94%
Max Decline   -4.78% -8.34% -4.20% -7.91% -7.49% -6.01% -5.30% -9.65% -15.01% -7.23% -5.19%
Avg Days to Max Decline   10 5 14 5 10 4 8 9 8 8 4
2012 Contract Condition       Yes Yes   Yes Yes        
Action       Yes No   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   24 27 27 28 29 30 31 33 33 33 33
Closed Lower   12 15 14 16 16 17 16 9 10 16 17
Penetrated Low   8 12 12 12 12 12 10 8 8 12 11
Scenario Percentage   67% 80% 86% 75% 75% 71% 63% 89% 80% 75% 65%
Avg Max Decline   11.86% 10.12% 11.82% 12.98% 14.38% 12.15% 7.09% 8.33% 8.55% 8.29% 6.58%
Max Decline   37.28% 39.95% 37.73% 26.57% 36.41% 35.98% 20.69% 15.31% 21.32% 16.25% 19.71%
Avg Days To Max Decline   19 17 19 20 19 14 13 16 15 16 15
Avg Max Increase   -2.17% -1.01% -2.29% -0.85% -3.86% -1.47% -2.07% -2.61% -3.89% -1.88% -1.75%
Max Increase   -10.49% -5.00% -5.62% -6.30% -10.36% -6.18% -10.29% -5.92% -7.91% -8.30% -9.54%
Avg Days to Max Increase   13 9 9 8 8 4 11 13 16 9 3
2012 Contract Condition   Yes Yes     Yes     Yes Yes Yes Yes
Action   Yes Yes     No     Yes Yes Yes Not Yet
High 315.66 317.09 303.80 295.56 307.32 300.22 305.11 329.62 332.95 327.83 319.90 274.41
Low 298.16 276.00 266.17 257.30 285.00 276.00 288.16 298.48 318.08 310.09 270.86 250.84
Close/Last 311.91 303.27 266.60 292.17 295.94 284.37 299.12 321.59 319.81 318.82 271.30 270.99

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