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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March NY Harbor ULSD(NYM) as of Jan 01, 2010
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 19 22 23 29 30 30 30 30 30 30 30
Closed Higher 15 16 11 15 18 17 19 16 12 16 10
Exceeded High 15 13 9 15 15 16 15 13 9 14 6
Scenario Percentage 100% 81% 82% 100% 83% 94% 79% 81% 75% 88% 60%
Avg Max Increase 10.53% 8.14% 9.96% 10.17% 11.96% 9.58% 8.66% 11.21% 17.16% 12.00% 12.14%
Max Increase 42.43% 29.78% 25.61% 24.85% 62.05% 33.12% 23.00% 25.47% 34.25% 41.13% 26.53%
Avg Days To Max Increase 18 18 21 18 18 17 14 19 14 17 14
Avg Max Decline -2.26% -2.10% -1.80% -2.61% -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 11 7 9 13 10 9 6 14 4 10 4
2009 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 19 22 23 29 30 30 30 30 30 30 30
Closed Lower 4 6 12 14 11 13 11 14 18 14 20
Penetrated Low 2 4 8 11 6 8 8 13 18 12 15
Scenario Percentage 50% 67% 67% 79% 55% 62% 73% 93% 100% 86% 75%
Avg Max Decline 2.47% 4.56% 8.46% 4.97% 8.50% 11.34% 12.56% 15.04% 11.83% 15.76% 15.98%
Max Decline 2.98% 5.86% 17.48% 12.04% 23.72% 39.41% 42.24% 42.17% 29.99% 37.84% 50.75%
Avg Days To Max Decline 12 18 14 18 16 17 16 18 20 16 15
Avg Max Increase -2.00% -3.36% -1.47% -1.70% -3.63% -2.97% -1.86% -2.65% -3.97% -3.63% -4.36%
Max Increase -2.05% -5.79% -8.44% -6.90% -12.77% -14.75% -6.12% -7.75% -12.74% -14.44% -20.94%
Avg Days to Max Increase 15 12 3 10 13 17 10 9 15 12 10
2009 Contract Condition         Yes Yes Yes Yes Yes Yes Yes
Action         Yes Yes Yes Yes Yes Yes Yes
High 298.75 332.40 407.50 413.10 428.95 367.00 322.00 296.24 226.64 174.23 167.68
Low 272.38 283.50 311.30 366.43 358.00 317.46 274.83 199.36 170.93 123.96 130.39
Close/Last 286.11 318.30 378.47 406.40 360.28 329.04 295.92 214.37 177.06 146.76 143.40

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