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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, 2014
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   25 29 30 33 33 34 34 34 34 34 34
Closed Higher   12 15 22 18 18 16 17 15 15 16 24
Exceeded High   10 15 17 17 10 12 13 14 13 15 20
Scenario Percentage   83% 100% 77% 94% 56% 75% 76% 93% 87% 94% 83%
Avg Max Increase   9.94% 9.75% 10.21% 7.17% 9.79% 10.48% 10.95% 10.59% 12.35% 13.36% 9.39%
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 16 16 16 19 15 18 13 12 18
Avg Max Decline   -0.90% -2.58% -0.92% -1.56% -1.68% -2.13% -1.95% -2.48% -2.10% -2.26% -1.84%
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 6 12 6 7 2
2013 Contract Condition       Yes Yes     Yes   Yes   Yes
Action       Yes 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   25 29 30 33 33 34 34 34 34 34 34
Closed Lower   13 14 8 15 15 18 17 19 19 18 10
Penetrated Low   8 10 5 9 11 16 15 14 14 14 8
Scenario Percentage   62% 71% 63% 60% 73% 89% 88% 74% 74% 78% 80%
Avg Max Decline   5.88% 4.09% 8.71% 11.66% 10.07% 12.20% 11.56% 14.71% 13.33% 7.41% 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   16 13 17 15 14 17 19 20 15 12 11
Avg Max Increase   -0.80% -2.04% -3.35% -2.37% -1.52% -2.30% -2.48% -3.76% -2.96% -1.76% -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   3 7 17 13 9 8 11 11 6 8 2
2013 Contract Condition   Yes Yes     Yes Yes   Yes   Yes  
Action   Yes No     Yes Yes   No   Yes  
High 323.12 321.76 280.42 293.16 312.70 317.35 311.42 307.54 309.51 315.35 327.14 310.26
Low 322.45 279.58 258.50 269.16 285.30 296.20 293.40 291.27 292.00 298.24 302.10 295.51
Close/Last 323.12 279.58 274.65 286.64 311.30 305.63 298.71 305.87 302.38 314.95 303.50 304.70

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