MRCI's ScenarioSM Study

ScenarioSM Study for June NY Harbor ULSD(NYM) as of Jan 01, 2015
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		26	28	29	30	30	34	35	35	35	35	35
Closed Higher		13	21	16	14	13	17	17	15	17	25	27
Exceeded High		13	19	14	10	10	12	14	11	16	24	16
Scenario Percentage		100%	90%	88%	71%	77%	71%	82%	73%	94%	96%	59%
Avg Max Increase		9.16%	8.90%	7.32%	7.69%	9.45%	10.95%	9.77%	11.70%	11.97%	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		15	15	14	17	23	18	19	13	14	16	16
Avg Max Decline		-1.52%	-0.91%	-0.99%	-1.47%	-2.59%	-2.43%	-2.25%	-2.08%	-1.74%	-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		9	8	8	5	11	7	12	6	7	5	4
2014 Contract Condition		Yes	Yes	Yes		Yes	Yes	Yes		Yes		Yes
Action		Yes	Yes	No		Yes	Yes	No		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		26	28	29	30	30	34	35	35	35	35	35
Closed Lower		13	7	13	16	17	17	18	20	18	10	8
Penetrated Low		10	5	8	13	15	14	13	14	14	9	4
Scenario Percentage		77%	71%	62%	81%	88%	82%	72%	70%	78%	90%	50%
Avg Max Decline		4.87%	8.40%	12.25%	10.11%	12.05%	11.84%	14.68%	12.59%	7.22%	7.96%	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	15	18	21	20	15	12	11	13
Avg Max Increase		-3.14%	-3.57%	-2.55%	-1.47%	-2.25%	-1.91%	-4.08%	-2.37%	-2.22%	-2.86%	-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	8	6	10	10	6	11	8	3
2014 Contract Condition					Yes				Yes		Yes
Action					Yes				No		Yes
High	293.05	294.04	299.95	306.77	304.22	300.41	301.69	305.91	303.25	303.88	304.80	301.58
Low	276.25	279.10	284.42	287.25	287.36	286.70	283.42	293.10	286.06	287.66	286.98	284.34
Close/Last	280.69	282.64	297.45	301.02	290.36	292.45	298.70	302.46	290.16	297.61	292.42	292.81