MRCI's ScenarioSM Study

ScenarioSM Study for June 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		25	27	28	29	29	33	34	34	34	34	34
Closed Higher		12	20	15	14	12	16	16	15	16	25	26
Exceeded High		12	18	14	10	9	11	14	11	15	24	16
Scenario Percentage		100%	90%	93%	71%	75%	69%	88%	73%	94%	96%	62%
Avg Max Increase		9.22%	9.22%	7.32%	7.69%	9.99%	11.73%	9.77%	11.70%	12.61%	11.54%	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	17	19	13	14	16	16
Avg Max Decline		-1.70%	-0.77%	-0.99%	-1.47%	-2.53%	-2.48%	-2.25%	-2.08%	-1.88%	-2.38%	-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	8	8	5	11	6	12	6	7	5	4
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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		25	27	28	29	29	33	34	34	34	34	34
Closed Lower		13	7	13	15	17	17	18	19	18	9	8
Penetrated Low		10	5	8	12	15	14	13	14	14	8	4
Scenario Percentage		77%	71%	62%	80%	88%	82%	72%	74%	78%	89%	50%
Avg Max Decline		4.87%	8.40%	12.25%	10.75%	12.05%	11.84%	14.68%	12.59%	7.22%	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	16	18	21	20	15	12	12	13
Avg Max Increase		-3.14%	-3.57%	-2.55%	-1.31%	-2.25%	-1.91%	-4.08%	-2.37%	-2.22%	-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	11	9	3
2013 Contract Condition		Yes			Yes	Yes		Yes		Yes		Yes
Action		No			Yes	Yes		No		Yes		Not Yet
High	320.51	280.00	292.24	310.55	315.57	309.29	305.68	307.46	313.18	323.89	307.95	308.84
Low	278.78	258.59	268.61	283.20	293.81	291.84	289.85	290.75	296.45	300.33	295.13	271.98
Close/Last	278.78	274.42	285.62	308.77	302.86	296.87	304.08	300.76	312.79	301.76	303.30	283.96