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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, 2014
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   24 26 31 31 32 33 33 33 34 34 34
Closed Higher   18 11 15 21 17 19 17 15 17 16 16
Exceeded High   14 9 15 18 16 13 12 11 16 12 16
Scenario Percentage   78% 82% 100% 86% 94% 68% 71% 73% 94% 75% 100%
Avg Max Increase   7.10% 10.43% 9.97% 10.60% 8.52% 8.07% 10.06% 14.27% 10.75% 13.27% 9.59%
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 18 18 11 15
Avg Max Decline   -1.78% -1.03% -3.05% -0.78% -1.66% -1.82% -2.83% -2.50% -3.33% -2.69% -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 6 4
2013 Contract Condition   Yes     Yes Yes     Yes   Yes  
Action   No     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 Feb
Tested Years   24 26 31 31 32 33 33 33 34 34 34
Closed Lower   6 15 16 10 15 14 16 18 17 18 18
Penetrated Low   3 10 12 5 8 12 14 17 14 13 14
Scenario Percentage   50% 67% 75% 50% 53% 86% 88% 94% 82% 72% 78%
Avg Max Decline   4.11% 7.74% 4.56% 9.09% 12.48% 9.20% 13.28% 12.97% 14.10% 13.01% 5.97%
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 15 12 17 17 13 18 21 20 13 10
Avg Max Increase   -3.86% -1.56% -2.57% -4.11% -2.39% -3.37% -2.34% -2.97% -4.19% -3.19% -0.90%
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 4 10 16 12 12 8 13 13 6 4
2013 Contract Condition     Yes Yes     Yes Yes   Yes   Yes
Action     Yes No     Yes Yes   No   Yes
High 327.93 324.51 319.44 277.38 290.74 310.99 318.00 311.27 306.00 307.43 311.15 323.03
Low 316.43 311.37 276.38 254.19 264.01 282.06 294.20 291.88 289.58 289.00 295.09 294.59
Close/Last 316.58 317.12 276.38 270.95 284.14 309.98 304.76 297.51 303.73 299.56 310.65 296.03

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