MRCI's ScenarioSM Study

ScenarioSM Study for January NY Harbor ULSD(NYM) as of Dec 31, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		20	22	26	28	31	32	32	32	32	32	32
Closed Higher		10	12	20	19	16	16	20	17	21	13	13
Exceeded High		8	11	19	16	12	16	16	17	17	10	8
Scenario Percentage		80%	92%	95%	84%	75%	100%	80%	100%	81%	77%	62%
Avg Max Increase		12.63%	11.63%	10.66%	10.71%	9.89%	10.14%	13.83%	10.02%	8.34%	12.08%	21.80%
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	15	19	17	16	17	18	15	16	19	25
Avg Max Decline		-1.44%	-1.20%	-2.52%	-1.99%	-1.43%	-2.99%	-1.76%	-2.67%	-3.31%	-1.83%	-2.08%
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	9	8	8	6	12	8	9	10	4	4
2010 Contract Condition				Yes		Yes	Yes				Yes	Yes
Action				Yes		Yes	Yes				No	Not Yet

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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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		20	22	26	28	31	32	32	32	32	32	32
Closed Lower		10	10	6	9	15	16	12	15	11	19	19
Penetrated Low		7	6	4	6	10	13	6	8	9	16	18
Scenario Percentage		70%	60%	67%	67%	67%	81%	50%	53%	82%	84%	95%
Avg Max Decline		8.39%	5.63%	4.55%	5.98%	7.30%	7.39%	9.24%	13.21%	12.54%	14.71%	10.36%
Max Decline		17.36%	18.65%	6.93%	7.89%	13.51%	18.97%	24.06%	40.46%	44.00%	43.61%	31.02%
Avg Days To Max Decline		13	10	7	17	16	17	16	18	17	16	17
Avg Max Increase		-1.19%	-1.45%	-3.10%	-3.31%	-0.98%	-1.73%	-4.62%	-1.57%	-3.84%	-2.85%	-1.87%
Max Increase		-5.97%	-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	5
2010 Contract Condition		Yes	Yes		Yes			Yes	Yes	Yes
Action		Yes	No		No			No	Yes	No
High	194.50	189.00	165.05	173.58	168.10	188.57	206.69	201.45	208.50	194.79	218.73	213.45
Low	150.36	157.37	136.40	137.75	152.65	157.32	191.35	167.19	188.25	175.64	180.00	191.03
Close/Last	173.16	165.05	149.73	159.59	156.60	188.37	197.61	196.86	190.35	188.82	203.81	204.79