MRCI's ScenarioSM Study

ScenarioSM Study for June NY Harbor ULSD(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	19	21	22	23	23	27	28	28	28	28	28
Closed Higher	9	15	14	12	9	12	14	12	12	20	22
Exceeded High	9	13	13	8	7	8	12	8	11	19	14
Scenario Percentage	100%	87%	93%	67%	78%	67%	86%	67%	92%	95%	64%
Avg Max Increase	10.64%	10.64%	7.71%	6.52%	11.05%	12.89%	8.81%	12.40%	12.75%	10.60%	7.97%
Max Increase	22.79%	53.12%	27.06%	14.52%	21.26%	22.51%	24.36%	27.54%	26.61%	23.23%	20.55%
Avg Days To Max Increase	17	15	14	17	23	15	18	14	13	17	17
Avg Max Decline	-0.80%	-0.48%	-0.97%	-1.21%	-2.36%	-1.81%	-1.75%	-2.57%	-2.08%	-2.41%	-1.76%
Max Decline	-2.89%	-3.20%	-5.65%	-6.97%	-5.28%	-8.11%	-4.46%	-6.67%	-6.97%	-7.62%	-5.80%
Avg Days to Max Decline	11	9	9	3	9	6	11	7	7	4	4
2007 Contract Condition	Yes	Yes				Yes			Yes	Yes	Yes
Action	Yes	Yes				No			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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	19	21	22	23	23	27	28	28	28	28	28
Closed Lower	10	6	8	11	14	15	14	16	16	8	6
Penetrated Low	8	4	5	9	13	12	11	12	12	7	5
Scenario Percentage	80%	67%	62%	82%	93%	80%	79%	75%	75%	88%	83%
Avg Max Decline	4.40%	4.70%	7.49%	8.87%	10.66%	11.39%	13.97%	12.65%	6.76%	8.15%	15.66%
Max Decline	13.21%	10.02%	16.55%	19.39%	21.94%	26.49%	38.28%	35.51%	22.32%	14.21%	55.02%
Avg Days To Max Decline	14	17	20	18	19	22	21	16	12	10	9
Avg Max Increase	-2.14%	-4.06%	-3.84%	-1.58%	-2.14%	-2.39%	-3.34%	-2.10%	-2.36%	-3.25%	-2.14%
Max Increase	-6.80%	-8.83%	-12.29%	-5.89%	-6.14%	-8.57%	-9.29%	-6.16%	-10.34%	-6.00%	-5.13%
Avg Days to Max Increase	6	17	23	8	6	12	11	6	10	10	3
2007 Contract Condition			Yes	Yes	Yes		Yes	Yes
Action			Yes	Yes	Yes		Yes	No
High	212.25	221.60	222.75	207.50	186.77	188.30	188.14	172.80	179.00	191.18	193.38
Low	200.59	211.20	203.90	179.50	174.25	173.93	172.40	151.43	162.10	167.15	177.15
Close/Last	210.11	215.71	208.81	186.67	177.40	187.30	174.12	168.28	178.06	188.49	189.48