MRCI's ScenarioSM Study

ScenarioSM Study for August 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years	19	22	22	23	24	25	26	28	28	28	28
Closed Higher	12	10	10	9	11	11	11	20	20	15	14
Exceeded High	10	8	6	7	10	8	10	19	15	10	13
Scenario Percentage	83%	80%	60%	78%	91%	73%	91%	95%	75%	67%	93%
Avg Max Increase	7.53%	5.84%	11.03%	9.88%	8.54%	11.22%	12.37%	9.46%	9.97%	10.79%	6.43%
Max Increase	25.68%	14.16%	19.33%	16.91%	19.50%	28.10%	23.37%	21.02%	30.49%	24.23%	13.78%
Avg Days To Max Increase	14	14	27	12	15	11	13	17	17	18	18
Avg Max Decline	-1.28%	-2.01%	-2.53%	-0.84%	-1.35%	-1.97%	-1.31%	-2.43%	-3.06%	-3.02%	-1.87%
Max Decline	-4.78%	-8.34%	-4.20%	-2.31%	-3.99%	-6.01%	-5.30%	-9.65%	-15.01%	-7.23%	-5.19%
Avg Days to Max Decline	10	3	13	5	9	4	9	8	9	10	4
2007 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years	19	22	22	23	24	25	26	28	28	28	28
Closed Lower	7	12	12	14	13	14	15	8	8	13	14
Penetrated Low	5	10	11	10	10	10	10	7	7	10	12
Scenario Percentage	71%	83%	92%	71%	77%	71%	67%	88%	88%	77%	86%
Avg Max Decline	7.32%	7.80%	9.46%	12.91%	13.72%	12.32%	7.09%	7.33%	6.73%	8.11%	10.22%
Max Decline	16.29%	17.73%	22.03%	26.57%	36.41%	35.98%	20.69%	11.26%	9.68%	16.25%	31.18%
Avg Days To Max Decline	19	18	19	21	20	15	13	14	14	14	15
Avg Max Increase	-2.98%	-1.33%	-2.03%	-1.19%	-3.17%	-1.08%	-2.07%	-2.62%	-4.40%	-1.82%	-3.81%
Max Increase	-10.49%	-5.00%	-5.62%	-6.30%	-7.83%	-4.68%	-10.29%	-5.92%	-7.91%	-8.30%	-20.32%
Avg Days to Max Increase	16	10	9	9	8	3	11	14	19	8	10
2007 Contract Condition	Yes	Yes	Yes		Yes	Yes				Yes
Action	Yes	Yes	Yes		Yes	No				No
High	224.05	208.24	189.52	190.50	190.59	177.00	182.01	194.01	196.30	197.62	207.50
Low	207.20	182.00	177.65	177.25	177.00	155.80	167.14	172.37	182.65	181.50	189.00
Close/Last	212.21	189.42	180.45	189.80	178.42	172.13	182.01	192.19	192.68	189.86	204.24