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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, 2014
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 Dec
Tested Years   24 27 29 31 34 34 34 34 34 34 34
Closed Higher   14 21 18 14 16 22 18 21 16 15 17
Exceeded High   13 20 14 12 16 19 18 16 12 11 15
Scenario Percentage   93% 95% 78% 86% 100% 86% 100% 76% 75% 73% 88%
Avg Max Increase   10.88% 10.27% 7.79% 9.65% 10.14% 11.86% 9.27% 8.60% 12.15% 19.62% 10.92%
Max Increase   23.87% 42.31% 29.01% 25.18% 25.14% 65.58% 34.76% 21.36% 34.13% 55.32% 44.01%
Avg Days To Max Increase   14 18 17 16 17 16 17 15 19 17 14
Avg Max Decline   -1.03% -1.92% -2.19% -1.27% -3.42% -1.31% -2.46% -2.51% -2.45% -2.91% -1.61%
Max Decline   -4.31% -8.55% -8.89% -5.26% -16.83% -8.09% -12.52% -12.46% -8.80% -7.99% -6.52%
Avg Days to Max Decline   9 8 9 9 13 8 7 8 8 6 6
2013 Contract Condition   Yes         Yes Yes     Yes  
Action   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 Dec
Tested Years   24 27 29 31 34 34 34 34 34 34 34
Closed Lower   10 6 11 17 18 12 16 13 18 19 17
Penetrated Low   6 4 7 11 14 6 10 10 15 19 11
Scenario Percentage   60% 67% 64% 65% 78% 50% 63% 77% 83% 100% 65%
Avg Max Decline   5.30% 5.46% 7.80% 8.23% 6.35% 8.76% 11.54% 11.13% 14.47% 12.00% 12.88%
Max Decline   17.08% 13.65% 20.13% 16.22% 18.93% 24.16% 39.86% 43.17% 43.10% 30.75% 29.04%
Avg Days To Max Decline   10 14 18 16 15 11 17 14 16 20 19
Avg Max Increase   -1.70% -2.80% -2.68% -1.78% -2.20% -4.45% -2.64% -2.67% -2.56% -4.23% -1.46%
Max Increase   -4.04% -5.32% -6.60% -7.53% -7.54% -18.08% -15.56% -16.37% -7.70% -15.03% -17.42%
Avg Days to Max Increase   6 9 14 4 9 14 17 8 8 15 8
2013 Contract Condition     Yes Yes Yes Yes     Yes Yes   Yes
Action     Yes Yes Yes No     Yes Yes   Not Yet
High 306.24 330.33 333.46 328.52 320.38 278.48 294.68 316.65 322.82 317.98 309.99 310.26
Low 297.85 302.29 320.17 312.43 277.31 255.66 266.63 285.48 299.99 297.37 293.50 290.27
Close/Last 301.38 323.20 321.13 320.11 277.62 273.12 287.27 315.45 310.59 303.50 306.65 303.18

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