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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   23 27 29 30 33 34 35 35 35 35 35
Closed Higher   12 13 15 16 25 22 17 17 22 19 21
Exceeded High   8 13 12 15 24 17 13 17 19 18 16
Scenario Percentage   67% 100% 80% 94% 96% 77% 76% 100% 86% 95% 76%
Avg Max Increase   9.31% 8.08% 11.11% 11.55% 11.83% 10.96% 9.25% 10.91% 14.06% 10.29% 5.32%
Max Increase   17.86% 18.20% 28.01% 23.28% 51.12% 53.09% 23.81% 24.96% 76.22% 39.38% 15.65%
Avg Days To Max Increase   17 15 12 15 18 16 15 17 18 13 14
Avg Max Decline   -1.56% -1.30% -1.17% -1.44% -2.12% -2.00% -1.50% -3.26% -2.54% -3.00% -2.25%
Max Decline   -7.40% -6.74% -4.81% -5.33% -8.88% -11.99% -5.77% -16.48% -8.55% -15.12% -13.24%
Avg Days to Max Decline   8 9 5 9 7 8 8 11 9 8 3
2013 Contract Condition   Yes   Yes   Yes     Yes Yes Yes  
Action   Yes   Yes   Yes     Yes Yes No  
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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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   23 27 29 30 33 34 35 35 35 35 35
Closed Lower   11 14 14 14 8 12 18 18 13 16 14
Penetrated Low   8 10 10 9 7 8 12 14 7 10 9
Scenario Percentage   73% 71% 71% 64% 88% 67% 67% 78% 54% 63% 64%
Avg Max Decline   8.71% 12.49% 10.47% 5.16% 7.10% 7.15% 7.88% 8.11% 11.86% 12.65% 8.73%
Max Decline   25.03% 32.60% 34.45% 18.95% 14.57% 20.84% 14.27% 19.18% 23.89% 41.36% 34.78%
Avg Days To Max Decline   19 18 15 9 15 15 17 17 17 15 17
Avg Max Increase   -1.17% -3.95% -1.56% -1.37% -2.69% -3.56% -1.10% -2.30% -4.75% -2.20% -1.79%
Max Increase   -5.51% -10.05% -6.01% -5.12% -5.55% -7.55% -6.77% -7.93% -19.87% -6.87% -3.89%
Avg Days to Max Increase   7 8 5 9 9 14 3 10 13 13 6
2013 Contract Condition     Yes   Yes   Yes Yes       Yes
Action     No   Yes   No No       Yes
High 305.72 303.73 301.71 309.27 317.07 302.20 305.81 296.29 299.59 310.78 322.35 317.53
Low 290.74 290.60 290.27 295.56 297.13 293.92 276.81 278.15 280.51 287.37 293.16 292.95
Close/Last 295.45 301.95 298.80 309.07 297.86 301.89 286.07 281.93 286.92 305.61 313.46 297.15

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