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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April NY Harbor ULSD(NYM) as of Jan 01, 2013
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 Feb
Tested Years   23 25 30 30 31 32 32 32 33 33 33
Closed Higher   17 11 15 20 16 19 17 14 17 15 16
Exceeded High   14 9 15 17 15 13 12 10 16 11 16
Scenario Percentage   82% 82% 100% 85% 94% 68% 71% 71% 94% 73% 100%
Avg Max Increase   7.10% 10.43% 9.97% 10.52% 8.91% 8.07% 10.06% 15.45% 10.75% 14.11% 9.73%
Max Increase   30.75% 26.14% 23.82% 59.17% 31.26% 19.36% 23.56% 28.14% 37.61% 28.18% 27.13%
Avg Days To Max Increase   15 19 18 15 15 15 21 17 18 12 15
Avg Max Decline   -1.78% -1.03% -3.05% -0.78% -1.68% -1.82% -2.83% -2.26% -3.33% -2.90% -2.59%
Max Decline   -6.43% -4.54% -14.40% -7.62% -8.59% -8.11% -8.29% -8.28% -10.05% -8.26% -9.12%
Avg Days to Max Decline   7 9 14 8 9 7 14 5 13 7 4
2012 Contract Condition   Yes     Yes     Yes Yes   Yes Yes
Action   No     No     Yes No   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 Feb
Tested Years   23 25 30 30 31 32 32 32 33 33 33
Closed Lower   6 14 15 10 15 13 15 18 16 18 17
Penetrated Low   3 9 12 5 8 11 13 17 14 13 13
Scenario Percentage   50% 64% 80% 50% 53% 85% 87% 94% 88% 72% 76%
Avg Max Decline   4.11% 7.71% 4.56% 9.09% 12.48% 9.59% 14.08% 12.97% 14.10% 13.01% 6.12%
Max Decline   5.22% 13.97% 11.24% 23.54% 38.98% 42.56% 41.36% 30.25% 36.13% 22.36% 13.25%
Avg Days To Max Decline   19 14 12 17 17 14 18 21 20 13 10
Avg Max Increase   -3.86% -1.69% -2.57% -4.11% -2.39% -3.48% -2.26% -2.97% -4.19% -3.19% -0.84%
Max Increase   -5.93% -8.90% -7.74% -12.41% -13.21% -15.93% -6.84% -11.89% -13.07% -11.25% -6.19%
Avg Days to Max Increase   10 3 10 16 12 13 6 13 13 6 3
2012 Contract Condition     Yes Yes   Yes Yes     Yes    
Action     Yes Yes   Yes Yes     No    
High 318.06 337.24 331.60 319.73 317.46 312.35 306.41 302.00 312.40 306.12 310.88 331.51
Low 299.87 317.35 290.50 284.55 295.52 276.00 270.00 261.04 290.10 277.22 291.52 300.94
Close/Last 318.06 334.15 311.71 301.28 312.80 305.75 270.74 297.85 300.53 288.66 302.89 320.59

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