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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   24 28 29 32 32 33 33 33 33 33 33
Closed Higher   12 15 21 17 18 16 16 15 14 16 23
Exceeded High   10 15 16 16 10 12 12 14 12 15 19
Scenario Percentage   83% 100% 76% 94% 56% 75% 75% 93% 86% 94% 83%
Avg Max Increase   9.94% 9.75% 10.18% 7.50% 9.79% 10.48% 11.60% 10.59% 13.06% 13.36% 9.78%
Max Increase   25.87% 23.36% 56.36% 29.50% 19.39% 21.64% 25.04% 30.08% 27.08% 29.40% 19.16%
Avg Days To Max Increase   18 17 17 16 16 19 13 18 12 12 19
Avg Max Decline   -0.90% -2.58% -0.94% -1.58% -1.68% -2.13% -1.74% -2.48% -2.26% -2.26% -1.88%
Max Decline   -4.80% -13.85% -7.35% -6.87% -7.85% -5.83% -8.29% -7.95% -7.14% -10.28% -8.30%
Avg Days to Max Decline   6 10 10 8 6 10 5 12 6 7 2
2012 Contract Condition       Yes     Yes Yes   Yes Yes  
Action       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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   24 28 29 32 32 33 33 33 33 33 33
Closed Lower   12 13 8 15 14 17 17 18 19 17 10
Penetrated Low   7 10 5 9 10 15 15 14 14 13 8
Scenario Percentage   58% 77% 63% 60% 71% 88% 88% 78% 74% 76% 80%
Avg Max Decline   5.64% 4.09% 8.71% 11.66% 10.61% 12.85% 11.56% 14.71% 13.33% 7.19% 6.26%
Max Decline   8.56% 10.22% 23.48% 38.52% 41.64% 40.53% 28.47% 39.03% 32.40% 20.93% 9.77%
Avg Days To Max Decline   14 13 17 15 15 18 19 20 15 11 11
Avg Max Increase   -0.87% -2.04% -3.35% -2.37% -1.48% -2.43% -2.48% -3.76% -2.96% -1.72% -2.79%
Max Increase   -2.79% -6.62% -9.00% -12.53% -6.39% -6.54% -9.43% -12.34% -10.85% -12.26% -7.79%
Avg Days to Max Increase   2 7 17 13 8 9 11 11 6 6 2
2012 Contract Condition   Yes Yes   Yes Yes     Yes     Yes
Action   Yes Yes   Yes Yes     No     Yes
High 334.29 329.54 317.29 315.63 310.19 304.24 297.89 309.50 304.03 308.46 330.27 331.35
Low 317.98 289.49 283.25 293.92 276.00 267.13 258.67 285.61 276.00 290.14 299.36 315.33
Close/Last 332.07 309.76 299.51 310.88 303.52 267.61 294.27 297.95 286.33 300.74 320.50 317.01

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