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