MRCI's ScenarioSM Study

ScenarioSM Study for March 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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years	17	20	21	27	28	28	28	28	28	28	28
Closed Higher	13	14	10	13	17	17	18	15	12	15	10
Exceeded High	13	11	8	13	14	16	14	12	9	13	6
Scenario Percentage	100%	79%	80%	100%	82%	94%	78%	80%	75%	87%	60%
Avg Max Increase	8.61%	6.48%	9.54%	10.95%	12.48%	9.58%	7.79%	11.58%	17.16%	12.65%	12.14%
Max Increase	17.87%	12.75%	25.61%	24.85%	62.05%	33.12%	23.00%	25.47%	34.25%	41.13%	26.53%
Avg Days To Max Increase	18	16	23	19	17	17	13	19	14	16	14
Avg Max Decline	-2.32%	-1.96%	-1.63%	-2.83%	-0.98%	-2.08%	-2.17%	-2.49%	-1.77%	-3.29%	-2.15%
Max Decline	-8.64%	-7.69%	-5.71%	-17.69%	-3.99%	-10.58%	-10.07%	-8.35%	-8.11%	-13.01%	-9.43%
Avg Days to Max Decline	10	8	10	14	9	9	6	12	4	9	4
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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years	17	20	21	27	28	28	28	28	28	28	28
Closed Lower	4	6	11	14	10	11	10	13	16	13	18
Penetrated Low	2	4	8	11	5	7	7	12	16	11	13
Scenario Percentage	50%	67%	73%	79%	50%	64%	70%	92%	100%	85%	72%
Avg Max Decline	2.47%	4.56%	8.46%	4.97%	5.46%	7.33%	8.31%	12.78%	11.26%	15.16%	14.81%
Max Decline	2.98%	5.86%	17.48%	12.04%	12.48%	19.59%	22.85%	21.49%	29.13%	37.84%	50.75%
Avg Days To Max Decline	12	18	14	18	16	16	15	18	20	15	14
Avg Max Increase	-2.00%	-3.36%	-1.47%	-1.70%	-3.98%	-3.70%	-2.11%	-2.39%	-3.89%	-2.66%	-4.52%
Max Increase	-2.05%	-5.79%	-8.44%	-6.90%	-12.77%	-14.75%	-6.12%	-7.75%	-12.74%	-14.44%	-24.78%
Avg Days to Max Increase	15	12	3	10	16	19	11	10	15	12	9
2007 Contract Condition			Yes			Yes	Yes	Yes		Yes	Yes
Action			No			Yes	Yes	Yes		Yes	No
High	204.25	223.26	226.00	225.75	234.00	234.00	214.75	189.10	190.40	190.17	168.50
Low	187.75	201.15	211.50	212.00	219.50	211.00	182.00	173.50	173.30	167.28	147.62
Close/Last	203.73	218.44	218.08	222.66	225.96	215.76	189.37	176.70	188.75	168.57	168.38