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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January NY Harbor ULSD(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 17 19 23 25 28 29 29 29 29 29 29
Closed Higher 10 10 17 17 14 13 19 17 20 12 11
Exceeded High 8 9 16 14 10 13 15 17 16 10 7
Scenario Percentage 80% 90% 94% 82% 71% 100% 79% 100% 80% 83% 64%
Avg Max Increase 12.63% 10.67% 8.38% 10.11% 9.52% 11.01% 14.40% 10.02% 8.40% 12.08% 21.43%
Max Increase 28.58% 23.82% 18.16% 52.14% 25.37% 24.90% 71.34% 38.14% 21.49% 26.77% 65.02%
Avg Days To Max Increase 15 13 20 17 17 19 19 15 16 19 24
Avg Max Decline -1.44% -1.08% -2.68% -2.18% -1.54% -1.90% -1.96% -2.67% -3.33% -1.83% -2.31%
Max Decline -4.68% -4.39% -8.71% -10.66% -5.26% -6.36% -8.11% -13.56% -13.28% -3.38% -7.37%
Avg Days to Max Decline 5 11 8 9 7 13 8 9 10 4 5
2007 Contract Condition Yes   Yes Yes   Yes Yes       Yes
Action No   Yes Yes   Yes No       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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 17 19 23 25 28 29 29 29 29 29 29
Closed Lower 7 9 6 8 14 16 10 12 9 17 18
Penetrated Low 5 6 4 6 10 13 5 6 8 15 17
Scenario Percentage 71% 67% 67% 75% 71% 81% 50% 50% 89% 88% 94%
Avg Max Decline 7.68% 5.63% 4.55% 5.98% 7.30% 7.39% 6.28% 9.58% 8.61% 12.61% 15.52%
Max Decline 12.61% 18.65% 6.93% 7.89% 13.51% 18.97% 14.13% 21.06% 25.76% 23.68% 55.28%
Avg Days To Max Decline 13 10 7 17 16 17 16 15 17 15 13
Avg Max Increase -0.47% -1.45% -3.10% -3.31% -0.98% -1.73% -5.18% -1.94% -4.28% -2.65% -2.28%
Max Increase -1.54% -3.71% -5.32% -6.82% -6.39% -7.53% -19.07% -5.36% -16.69% -8.52% -10.08%
Avg Days to Max Increase 2 7 10 17 2 7 16 20 10 6 6
2007 Contract Condition   Yes     Yes     Yes Yes Yes  
Action   No     No     Yes Yes Yes  
High 207.00 207.00 206.00 226.26 230.00 226.00 234.71 233.25 214.25 186.30 187.25
Low 190.75 185.50 188.00 202.60 212.00 212.49 219.75 209.50 177.90 169.46 168.70
Close/Last 206.24 192.86 205.18 220.69 219.13 223.06 224.71 214.66 186.07 172.55 185.00

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