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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, 2014
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   23 26 27 33 34 34 34 34 34 34 34
Closed Higher   18 18 12 16 22 18 20 18 16 18 13
Exceeded High   18 14 10 16 18 17 16 14 12 16 9
Scenario Percentage   100% 78% 83% 100% 82% 94% 80% 78% 75% 89% 69%
Avg Max Increase   10.63% 7.67% 9.90% 9.88% 11.22% 9.16% 8.55% 10.75% 15.05% 12.33% 10.86%
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   17 17 20 17 16 16 14 19 16 17 16
Avg Max Decline   -2.04% -1.86% -1.49% -3.36% -1.04% -2.05% -2.25% -2.60% -2.46% -3.37% -1.84%
Max Decline   -8.64% -7.69% -5.71% -17.69% -8.00% -10.58% -10.07% -8.35% -8.24% -13.01% -9.43%
Avg Days to Max Decline   12 7 8 13 9 8 7 13 5 9 4
2013 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   23 26 27 33 34 34 34 34 34 34 34
Closed Lower   5 8 15 17 11 16 14 16 18 16 21
Penetrated Low   3 5 10 13 6 10 10 14 18 12 12
Scenario Percentage   60% 63% 67% 76% 55% 63% 71% 88% 100% 75% 57%
Avg Max Decline   6.05% 7.66% 8.49% 5.35% 8.50% 11.21% 10.91% 14.23% 11.83% 15.76% 9.74%
Max Decline   13.20% 20.05% 17.48% 12.04% 23.72% 39.41% 42.24% 42.17% 29.99% 37.84% 20.51%
Avg Days To Max Decline   18 19 16 17 16 17 13 18 20 16 15
Avg Max Increase   -2.12% -2.77% -1.50% -2.47% -3.63% -2.62% -1.71% -2.66% -3.97% -3.63% -2.60%
Max Increase   -2.34% -5.79% -8.44% -7.59% -12.77% -14.75% -6.12% -7.75% -12.74% -14.44% -11.57%
Avg Days to Max Increase   11 10 4 13 13 16 9 11 15 12 4
2013 Contract Condition   Yes Yes Yes Yes     Yes Yes   Yes  
Action   Yes Yes Yes No     Yes Yes   No  
High 327.98 331.32 326.55 320.19 278.60 293.23 314.09 321.00 315.01 308.34 309.49 312.50
Low 300.69 317.25 311.50 276.97 254.90 266.35 283.70 297.70 295.04 292.12 290.13 296.97
Close/Last 321.00 319.08 318.82 277.26 272.26 286.01 312.96 307.95 300.91 305.86 301.68 311.87

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