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