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