MRCI's ScenarioSM Study

ScenarioSM Study for February NY Harbor ULSD(NYM) as of Jan 01, 2015
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		25	28	30	32	35	35	35	35	35	35	35
Closed Higher		14	22	18	14	17	23	19	21	16	16	18
Exceeded High		13	21	14	12	17	20	18	16	12	12	16
Scenario Percentage		93%	95%	78%	86%	100%	87%	95%	76%	75%	75%	89%
Avg Max Increase		10.88%	9.84%	7.79%	9.65%	10.17%	11.49%	9.27%	8.60%	12.15%	18.56%	10.59%
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	18	16	17	15	19	18	15
Avg Max Decline		-1.03%	-1.85%	-2.19%	-1.27%	-3.19%	-1.42%	-2.46%	-2.51%	-2.45%	-3.00%	-1.84%
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	12	8	7	8	8	8	6
2014 Contract Condition			Yes			Yes	Yes	Yes			Yes	Yes
Action			Yes			Yes	Yes	No			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		25	28	30	32	35	35	35	35	35	35	35
Closed Lower		11	6	12	18	18	12	16	14	19	19	17
Penetrated Low		7	4	7	11	14	6	10	11	16	19	11
Scenario Percentage		64%	67%	58%	61%	78%	50%	63%	79%	84%	100%	65%
Avg Max Decline		5.38%	5.46%	7.80%	8.23%	6.35%	8.76%	11.54%	10.49%	13.81%	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		11	14	18	16	15	11	17	13	15	20	19
Avg Max Increase		-1.84%	-2.80%	-2.68%	-1.78%	-2.20%	-4.45%	-2.64%	-2.74%	-2.40%	-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		10	9	14	4	9	14	17	8	8	15	8
2014 Contract Condition		Yes		Yes	Yes				Yes	Yes
Action		Yes		No	No				Yes	Yes
High	307.23	314.30	300.63	303.92	296.43	300.24	307.86	317.84	314.61	306.08	306.66	311.10
Low	295.57	295.00	292.91	278.50	279.79	284.00	288.64	293.49	292.06	290.00	284.00	295.22
Close/Last	307.23	295.87	300.12	286.59	283.95	287.37	304.13	310.55	295.87	295.52	302.76	306.52