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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   24 26 27 28 28 32 33 33 33 33 33
Closed Higher   12 19 14 14 12 15 16 14 16 24 26
Exceeded High   12 17 13 10 9 10 14 10 15 23 16
Scenario Percentage   100% 89% 93% 71% 75% 67% 88% 71% 94% 96% 62%
Avg Max Increase   9.22% 9.15% 7.71% 7.69% 9.99% 12.60% 9.77% 12.52% 12.61% 11.96% 8.78%
Max Increase   22.79% 53.13% 27.06% 18.49% 21.26% 22.51% 24.36% 27.54% 26.61% 40.66% 27.15%
Avg Days To Max Increase   14 14 14 17 23 16 19 13 14 17 16
Avg Max Decline   -1.70% -0.77% -0.97% -1.47% -2.53% -2.29% -2.25% -2.27% -1.88% -2.44% -1.73%
Max Decline   -13.80% -7.74% -5.65% -6.97% -5.28% -8.45% -7.83% -6.67% -6.97% -7.62% -5.80%
Avg Days to Max Decline   10 9 9 5 11 6 12 6 7 5 4
2012 Contract Condition     Yes     Yes Yes   Yes Yes   Yes
Action     Yes     Yes No   Yes Yes   Not Yet
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   24 26 27 28 28 32 33 33 33 33 33
Closed Lower   12 7 13 14 16 17 17 19 17 9 7
Penetrated Low   10 5 8 11 14 14 13 14 13 8 4
Scenario Percentage   83% 71% 62% 79% 88% 82% 76% 74% 76% 89% 57%
Avg Max Decline   4.87% 8.40% 12.25% 11.34% 12.74% 11.84% 14.68% 12.59% 7.02% 8.89% 4.76%
Max Decline   13.21% 23.19% 38.38% 41.24% 39.69% 27.66% 38.28% 35.51% 22.32% 14.21% 6.87%
Avg Days To Max Decline   14 17 19 17 19 21 20 15 12 12 13
Avg Max Increase   -3.14% -3.57% -2.55% -1.23% -2.38% -1.91% -4.08% -2.37% -2.21% -3.19% -1.53%
Max Increase   -7.73% -8.83% -12.29% -5.89% -6.14% -8.57% -11.53% -7.28% -10.34% -6.00% -5.13%
Avg Days to Max Increase   11 13 17 7 6 10 10 6 10 9 3
2012 Contract Condition   Yes   Yes Yes     Yes     Yes  
Action   Yes   Yes Yes     No     Yes  
High 327.94 316.70 315.69 317.93 303.41 296.74 307.70 302.23 307.19 329.53 331.57 326.66
Low 287.00 280.90 292.71 274.00 265.00 256.29 283.29 274.71 288.00 298.27 316.10 308.85
Close/Last 308.34 298.31 310.09 302.44 265.96 292.32 296.23 284.59 299.25 320.44 317.94 318.42

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