MRCI's ScenarioSM Study

ScenarioSM Study for March NY Harbor ULSD(NYM) as of Jan 01, 2009
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	Jan
Tested Years		18	21	22	28	29	29	29	29	29	29	29
Closed Higher		14	15	10	14	18	17	19	16	12	16	10
Exceeded High		14	12	8	14	15	16	15	13	9	14	6
Scenario Percentage		100%	80%	80%	100%	83%	94%	79%	81%	75%	88%	60%
Avg Max Increase		8.25%	6.34%	9.54%	10.50%	11.96%	9.58%	8.66%	11.21%	17.16%	12.28%	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	17	23	19	18	17	14	19	14	17	14
Avg Max Decline		-2.36%	-2.09%	-1.63%	-2.64%	-1.45%	-2.08%	-2.20%	-2.57%	-1.77%	-3.70%	-2.15%
Max Decline		-8.64%	-7.69%	-5.71%	-17.69%	-8.00%	-10.58%	-10.07%	-8.35%	-8.11%	-13.01%	-9.43%
Avg Days to Max Decline		12	8	10	13	10	9	6	14	4	10	4
2008 Contract Condition		Yes	Yes		Yes	Yes		Yes	Yes		Yes
Action		Yes	Yes		Yes	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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		18	21	22	28	29	29	29	29	29	29	29
Closed Lower		4	6	12	14	10	12	10	13	17	13	19
Penetrated Low		2	4	8	11	5	7	7	12	17	11	10
Scenario Percentage		50%	67%	67%	79%	50%	58%	70%	92%	100%	85%	53%
Avg Max Decline		2.47%	4.56%	8.46%	4.97%	5.46%	7.33%	8.31%	12.78%	10.76%	15.16%	9.19%
Max Decline		2.98%	5.86%	17.48%	12.04%	12.48%	19.59%	22.85%	21.49%	29.13%	37.84%	17.51%
Avg Days To Max Decline		12	18	14	18	16	16	15	18	20	15	16
Avg Max Increase		-2.00%	-3.36%	-1.47%	-1.70%	-3.98%	-3.70%	-2.11%	-2.39%	-4.29%	-2.66%	-2.33%
Max Increase		-2.05%	-5.79%	-8.44%	-6.90%	-12.77%	-14.75%	-6.12%	-7.75%	-12.74%	-14.44%	-11.57%
Avg Days to Max Increase		15	12	3	10	16	19	11	10	16	12	4
2008 Contract Condition				Yes			Yes			Yes		Yes
Action				No			No			Yes		Not Yet
High	195.55	204.50	207.80	210.00	214.00	221.05	215.30	226.00	251.24	267.40	267.91	273.31
Low	181.36	186.47	197.86	196.90	202.75	210.85	198.61	207.94	215.43	246.00	242.00	239.75
Close/Last	194.86	202.79	204.18	203.01	211.24	215.87	206.34	221.31	250.88	246.75	263.69	252.91