MRCI's ScenarioSM Study

ScenarioSM Study for January 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		23	25	29	31	34	35	35	35	35	35	35
Closed Higher		13	14	22	20	16	17	23	19	21	14	15
Exceeded High		11	13	21	16	12	17	19	18	17	11	9
Scenario Percentage		85%	93%	95%	80%	75%	100%	83%	95%	81%	79%	60%
Avg Max Increase		11.68%	10.95%	10.00%	10.71%	9.89%	10.21%	12.73%	9.60%	8.34%	11.40%	19.78%
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		14	14	18	17	16	18	17	15	16	18	25
Avg Max Decline		-1.05%	-1.12%	-2.31%	-1.99%	-1.43%	-2.83%	-1.78%	-2.63%	-3.31%	-1.92%	-2.13%
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	7	9	10	4	6
2013 Contract Condition		Yes	Yes					Yes	Yes			Yes
Action		Yes	Yes					Yes	Yes			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		23	25	29	31	34	35	35	35	35	35	35
Closed Lower		10	11	7	11	18	18	12	16	14	21	20
Penetrated Low		7	7	5	7	12	14	6	9	12	18	19
Scenario Percentage		70%	64%	71%	64%	67%	78%	50%	56%	86%	86%	95%
Avg Max Decline		8.39%	5.72%	6.43%	8.02%	7.53%	7.50%	9.24%	13.24%	10.54%	13.59%	10.25%
Max Decline		17.36%	18.65%	13.94%	20.29%	13.51%	18.97%	24.06%	40.46%	44.00%	43.61%	31.02%
Avg Days To Max Decline		13	11	12	18	18	16	16	16	14	15	17
Avg Max Increase		-1.19%	-1.62%	-2.95%	-2.89%	-1.09%	-2.10%	-4.62%	-1.42%	-3.41%	-2.66%	-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	11	8	15	3	9	14	16	8	7	5
2013 Contract Condition				Yes	Yes	Yes	Yes			Yes	Yes
Action				Yes	Yes	Yes	No			Yes	Yes
High	303.06	307.23	330.93	334.22	329.52	321.75	278.41	295.64	317.80	324.70	321.44	310.26
Low	280.37	297.40	301.88	321.58	313.17	277.00	255.57	266.87	285.39	300.93	299.08	293.87
Close/Last	287.34	301.83	323.75	321.88	320.62	277.42	273.20	287.56	317.10	312.55	305.19	306.07