MRCI Online
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| ScenarioSM Study for August NY Harbor ULSD(NYM) as of Jan 01, 2010 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 21 | 24 | 24 | 25 | 26 | 27 | 28 | 30 | 30 | 30 | 30 |
| Closed Higher | 12 | 11 | 11 | 9 | 12 | 11 | 12 | 22 | 21 | 17 | 16 |
| Exceeded High | 10 | 9 | 7 | 7 | 11 | 8 | 11 | 21 | 16 | 12 | 14 |
| Scenario Percentage | 83% | 82% | 64% | 78% | 92% | 73% | 92% | 95% | 76% | 71% | 88% |
| Avg Max Increase | 7.53% | 7.14% | 10.50% | 9.88% | 8.60% | 11.22% | 13.15% | 11.42% | 11.04% | 11.02% | 6.42% |
| Max Increase | 25.68% | 17.53% | 19.33% | 16.91% | 19.50% | 28.10% | 23.37% | 41.95% | 30.49% | 24.23% | 13.78% |
| Avg Days To Max Increase | 14 | 15 | 27 | 12 | 16 | 11 | 14 | 18 | 17 | 17 | 17 |
| Avg Max Decline | -1.28% | -1.96% | -2.52% | -0.84% | -1.91% | -1.97% | -1.36% | -2.60% | -3.03% | -2.79% | -1.94% |
| Max Decline | -4.78% | -8.34% | -4.20% | -2.31% | -7.49% | -6.01% | -5.30% | -9.65% | -15.01% | -7.23% | -5.19% |
| Avg Days to Max Decline | 10 | 3 | 16 | 5 | 10 | 4 | 9 | 8 | 9 | 8 | 4 |
| 2009 Contract Condition | Yes | Yes | Yes | ||||||||
| Action | Yes | Yes | No | ||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
