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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 18 21 23 25 28 28 28 28 28 28 28
Closed Higher 9 16 14 12 13 18 17 19 13 12 14
Exceeded High 8 15 11 10 13 15 17 14 10 8 12
Scenario Percentage 89% 94% 79% 83% 100% 83% 100% 74% 77% 67% 86%
Avg Max Increase 11.08% 8.46% 6.67% 9.30% 11.29% 13.34% 9.67% 7.81% 13.39% 23.85% 12.38%
Max Increase 23.87% 17.51% 13.86% 25.18% 25.14% 65.58% 34.76% 18.54% 34.13% 55.32% 44.01%
Avg Days To Max Increase 13 19 17 17 19 17 17 15 19 15 15
Avg Max Decline -0.61% -2.05% -2.18% -1.37% -2.88% -1.09% -2.50% -2.46% -2.48% -2.29% -1.84%
Max Decline -3.11% -8.55% -8.89% -5.26% -16.83% -4.52% -12.52% -12.46% -8.80% -6.73% -6.52%
Avg Days to Max Decline 9 7 11 10 15 8 7 8 10 5 6
2007 Contract Condition   Yes Yes   Yes Yes       Yes  
Action   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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 18 21 23 25 28 28 28 28 28 28 28
Closed Lower 9 5 9 13 15 10 11 9 15 16 14
Penetrated Low 6 3 6 9 12 5 7 7 13 16 11
Scenario Percentage 67% 60% 67% 69% 80% 50% 64% 78% 87% 100% 79%
Avg Max Decline 5.30% 2.73% 5.75% 8.13% 6.13% 5.69% 7.79% 8.47% 13.05% 11.58% 22.02%
Max Decline 17.08% 3.75% 8.04% 16.22% 18.93% 12.92% 20.42% 24.31% 22.51% 28.79% 55.73%
Avg Days To Max Decline 10 8 17 14 15 11 16 15 16 19 17
Avg Max Increase -1.70% -2.96% -3.11% -1.83% -1.39% -4.97% -3.82% -3.47% -2.32% -4.34% -2.91%
Max Increase -4.04% -5.32% -6.60% -7.53% -7.40% -18.08% -15.56% -16.37% -7.70% -15.03% -17.42%
Avg Days to Max Increase 6 12 16 3 5 17 21 10 7 16 11
2007 Contract Condition Yes     Yes     Yes Yes Yes   Yes
Action No     No     Yes Yes Yes   Yes
High 209.15 206.30 226.75 229.50 227.50 235.50 235.00 216.50 188.80 189.60 188.50
Low 187.28 188.50 204.10 212.90 213.50 222.00 211.50 181.85 172.50 172.40 163.00
Close/Last 193.61 205.58 220.94 219.78 224.51 226.66 216.76 189.07 176.05 187.70 164.82

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