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