MRCI's ScenarioSM Study

ScenarioSM Study for July NY Harbor ULSD(NYM) as of Dec 30, 2011
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	May
Tested Years		23	26	28	28	30	31	32	32	32	32	32
Closed Higher		18	14	16	12	14	13	13	15	24	24	17
Exceeded High		15	13	12	9	11	12	10	14	23	19	10
Scenario Percentage		83%	93%	75%	75%	79%	92%	77%	93%	96%	79%	59%
Avg Max Increase		9.62%	7.05%	8.31%	10.25%	10.71%	10.05%	11.18%	12.60%	11.40%	10.00%	9.05%
Max Increase		51.79%	26.41%	26.16%	20.60%	19.67%	21.36%	27.58%	25.97%	41.58%	29.68%	17.24%
Avg Days To Max Increase		15	14	16	21	14	17	12	14	16	16	17
Avg Max Decline		-0.49%	-0.81%	-1.83%	-2.07%	-1.64%	-1.98%	-2.01%	-1.52%	-2.22%	-2.95%	-1.57%
Max Decline		-7.21%	-6.28%	-8.40%	-4.74%	-8.27%	-7.42%	-6.29%	-5.57%	-6.96%	-16.05%	-7.53%
Avg Days to Max Decline		9	9	5	13	6	13	6	7	8	8	7
2011 Contract Condition		Yes		Yes		Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes		Yes		Yes	Yes	Yes	Yes	Yes	No

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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		23	26	28	28	30	31	32	32	32	32	32
Closed Lower		5	12	12	16	16	17	19	17	8	8	15
Penetrated Low		4	7	9	14	13	15	13	12	7	6	12
Scenario Percentage		80%	58%	75%	88%	81%	88%	68%	71%	88%	75%	80%
Avg Max Decline		9.94%	11.47%	11.81%	13.02%	13.81%	13.52%	12.08%	6.47%	7.85%	6.26%	6.31%
Max Decline		22.93%	37.63%	40.47%	38.60%	29.86%	38.04%	35.18%	20.99%	12.60%	9.83%	12.36%
Avg Days To Max Decline		19	22	16	18	19	19	15	13	14	13	14
Avg Max Increase		-3.52%	-2.59%	-1.20%	-2.22%	-1.40%	-3.58%	-2.30%	-2.41%	-2.92%	-4.17%	-1.88%
Max Increase		-8.51%	-11.01%	-5.67%	-5.82%	-7.39%	-11.13%	-6.56%	-11.47%	-5.99%	-8.06%	-8.98%
Avg Days to Max Increase		19	20	7	7	10	8	7	10	7	18	3
2011 Contract Condition			Yes		Yes							Yes
Action			No		No							Yes
High	229.09	223.85	233.87	231.56	236.36	245.01	256.79	275.79	304.42	315.70	334.47	330.59
Low	215.33	207.84	207.42	215.01	225.00	226.47	240.50	249.27	271.42	294.66	311.65	278.85
Close/Last	217.30	223.85	211.97	231.56	228.59	233.24	255.49	274.27	298.74	313.46	329.15	305.30