MRCI's ScenarioSM Study

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

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	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 Lower	9	13	13	16	14	16	16	8	9	13	14
Penetrated Low	6	11	12	12	11	11	10	7	7	10	12
Scenario Percentage	67%	85%	92%	75%	79%	69%	62%	88%	78%	77%	86%
Avg Max Decline	12.31%	10.72%	11.82%	12.98%	14.60%	12.95%	7.09%	7.33%	6.73%	8.11%	10.22%
Max Decline	37.28%	39.95%	37.73%	26.57%	36.41%	35.98%	20.69%	11.26%	9.68%	16.25%	31.18%
Avg Days To Max Decline	21	18	19	20	20	15	13	14	14	14	15
Avg Max Increase	-2.49%	-1.13%	-2.29%	-0.85%	-3.83%	-1.04%	-2.07%	-2.62%	-4.40%	-1.82%	-3.81%
Max Increase	-10.49%	-5.00%	-5.62%	-6.30%	-10.36%	-4.68%	-10.29%	-5.92%	-7.91%	-8.30%	-20.32%
Avg Days to Max Increase	14	9	9	8	7	4	11	14	19	8	10
2009 Contract Condition	Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action	Yes	Yes	Yes	Yes	Yes	Yes	No		No
High	349.28	327.15	292.75	231.10	179.54	176.15	152.52	158.63	155.19	171.75	191.38
Low	314.50	271.00	205.15	177.50	136.86	143.30	122.30	123.51	135.37	140.62	171.71
Close/Last	327.09	295.57	219.77	184.41	159.61	151.50	135.58	145.39	140.40	171.30	178.77