MRCI's ScenarioSM Study

ScenarioSM Study for July 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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	19	22	24	24	26	27	28	28	28	28	28
Closed Higher	15	14	14	10	12	11	12	12	20	21	15
Exceeded High	12	13	10	8	9	10	9	11	19	17	9
Scenario Percentage	80%	93%	71%	80%	75%	91%	75%	92%	95%	81%	60%
Avg Max Increase	10.90%	7.05%	7.60%	10.59%	10.66%	9.22%	10.75%	11.90%	9.88%	9.25%	8.33%
Max Increase	51.79%	26.41%	26.16%	20.60%	19.67%	21.36%	27.58%	25.97%	22.66%	27.24%	16.25%
Avg Days To Max Increase	15	14	16	21	13	15	12	13	16	16	17
Avg Max Decline	-0.37%	-0.81%	-1.73%	-1.97%	-1.43%	-1.39%	-2.12%	-1.49%	-2.17%	-3.13%	-1.75%
Max Decline	-3.23%	-6.28%	-8.40%	-4.74%	-8.27%	-4.30%	-6.29%	-5.57%	-6.55%	-16.05%	-7.53%
Avg Days to Max Decline	9	9	4	10	6	12	6	7	7	9	7
2007 Contract Condition	Yes				Yes			Yes	Yes	Yes
Action	No				No			Yes	Yes	Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	19	22	24	24	26	27	28	28	28	28	28
Closed Lower	4	8	10	14	14	15	16	16	8	7	13
Penetrated Low	3	5	8	13	11	13	11	12	7	6	12
Scenario Percentage	75%	62%	80%	93%	79%	87%	69%	75%	88%	86%	92%
Avg Max Decline	5.62%	7.32%	8.23%	11.05%	13.81%	12.82%	12.14%	6.47%	7.85%	6.26%	12.39%
Max Decline	9.61%	16.40%	18.46%	21.91%	29.86%	38.04%	35.18%	20.99%	12.60%	9.83%	56.01%
Avg Days To Max Decline	21	21	15	18	20	20	15	13	14	13	14
Avg Max Increase	-4.23%	-3.49%	-1.57%	-1.97%	-1.81%	-2.97%	-2.04%	-2.41%	-2.92%	-4.17%	-2.81%
Max Increase	-8.51%	-11.01%	-5.67%	-5.82%	-7.39%	-9.10%	-6.56%	-11.47%	-5.99%	-8.06%	-9.98%
Avg Days to Max Increase	25	24	8	7	12	9	7	10	7	18	6
2007 Contract Condition		Yes	Yes	Yes		Yes	Yes				Yes
Action		Yes	Yes	Yes		Yes	No				No
High	223.00	222.75	206.24	187.87	189.00	188.94	174.90	179.76	192.52	195.10	196.18
Low	212.00	204.75	181.08	175.70	175.00	174.50	153.60	164.15	169.74	179.72	179.60
Close/Last	216.51	210.16	187.77	178.60	188.15	175.97	169.93	179.76	190.14	190.83	188.31