MRCI's ScenarioSM Study

ScenarioSM Study for January NY Harbor ULSD(NYM) as of Jan 01, 2010
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	19	21	25	27	30	31	31	31	31	31	31
Closed Higher	10	11	19	18	16	15	19	17	20	13	12
Exceeded High	8	10	18	15	12	15	15	17	16	10	7
Scenario Percentage	80%	91%	95%	83%	75%	100%	79%	100%	80%	77%	58%
Avg Max Increase	12.63%	11.56%	10.78%	11.32%	9.89%	10.32%	14.40%	10.02%	8.40%	12.08%	23.53%
Max Increase	28.58%	23.82%	41.75%	52.14%	25.37%	24.90%	71.34%	38.14%	21.49%	26.77%	77.96%
Avg Days To Max Increase	15	13	20	17	16	18	19	15	16	19	25
Avg Max Decline	-1.44%	-1.20%	-2.69%	-2.19%	-1.43%	-2.82%	-1.96%	-2.67%	-3.33%	-1.83%	-2.31%
Max Decline	-4.68%	-4.39%	-8.71%	-10.66%	-5.26%	-15.39%	-8.11%	-13.56%	-13.28%	-3.38%	-7.37%
Avg Days to Max Decline	5	10	9	9	6	13	8	9	10	4	5
2009 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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	19	21	25	27	30	31	31	31	31	31	31
Closed Lower	9	10	6	9	14	16	12	14	11	18	19
Penetrated Low	6	6	4	6	10	13	6	8	9	16	18
Scenario Percentage	67%	60%	67%	67%	71%	81%	50%	57%	82%	89%	95%
Avg Max Decline	9.29%	5.63%	4.55%	5.98%	7.30%	7.39%	9.24%	13.21%	12.54%	14.71%	16.67%
Max Decline	17.36%	18.65%	6.93%	7.89%	13.51%	18.97%	24.06%	40.46%	44.00%	43.61%	55.28%
Avg Days To Max Decline	14	10	7	17	16	17	16	18	17	16	15
Avg Max Increase	-0.40%	-1.45%	-3.10%	-3.31%	-0.98%	-1.73%	-4.62%	-1.57%	-3.84%	-2.85%	-2.15%
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	3	7	10	17	2	7	14	18	9	6	6
2009 Contract Condition	Yes						Yes	Yes	Yes	Yes	Yes
Action	No						Yes	Yes	Yes	Yes	Yes
High	266.50	281.43	304.60	336.60	413.00	413.90	431.93	366.05	322.93	295.75	223.80
Low	241.68	245.50	275.00	287.66	315.00	367.00	357.00	315.99	272.98	195.00	165.14
Close/Last	254.91	280.39	291.36	322.70	379.47	406.70	359.48	327.49	294.87	211.27	172.71