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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August NY Harbor ULSD(NYM) as of Apr 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   22 25 25 26 27 28 29 31 31 31 31
Closed Higher   12 11 12 10 12 11 13 23 22 17 16
Exceeded High   10 9 7 8 11 8 12 22 17 12 13
Scenario Percentage   83% 82% 58% 80% 92% 73% 92% 96% 77% 71% 81%
Avg Max Increase   7.53% 7.14% 10.50% 9.13% 8.60% 11.22% 13.11% 11.27% 10.50% 10.78% 6.24%
Max Increase   25.68% 17.53% 19.33% 16.91% 19.50% 28.10% 23.37% 41.95% 30.49% 24.23% 12.36%
Avg Days To Max Increase   14 15 27 12 16 11 15 17 16 16 15
Avg Max Decline   -1.28% -1.96% -2.52% -1.72% -1.91% -1.97% -1.38% -2.51% -2.85% -2.79% -1.69%
Max Decline   -4.78% -8.34% -4.20% -7.91% -7.49% -6.01% -5.30% -9.65% -15.01% -7.23% -3.73%
Avg Days to Max Decline   10 3 16 6 10 4 8 9 8 8 4
2011 Contract Condition     Yes   Yes Yes Yes Yes Yes Yes    
Action     Yes   Yes Yes Yes Yes Yes Not Yet    
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   22 25 25 26 27 28 29 31 31 31 31
Closed Lower   10 14 13 16 15 17 16 8 9 14 15
Penetrated Low   7 11 12 12 12 12 10 7 7 10 11
Scenario Percentage   70% 79% 92% 75% 80% 71% 63% 88% 78% 71% 73%
Avg Max Decline   11.39% 10.72% 11.82% 12.98% 14.38% 12.15% 7.09% 7.33% 6.73% 8.06% 6.53%
Max Decline   37.28% 39.95% 37.73% 26.57% 36.41% 35.98% 20.69% 11.26% 9.68% 16.02% 19.71%
Avg Days To Max Decline   21 18 19 20 19 14 13 14 14 13 15
Avg Max Increase   -2.45% -1.13% -2.29% -0.85% -3.86% -1.47% -2.07% -2.62% -4.40% -1.82% -1.75%
Max Increase   -10.49% -5.00% -5.62% -6.30% -10.36% -6.18% -10.29% -5.92% -7.91% -8.30% -9.54%
Avg Days to Max Increase   14 9 9 8 8 4 11 14 19 8 3
2011 Contract Condition   Yes   Yes             Yes  
Action   No   No                
High 225.35 235.22 232.70 237.56 246.30 257.84 276.85 305.62 316.20 335.90 332.11  
Low 209.44 209.12 216.96 226.30 228.42 241.50 250.41 272.41 296.62 313.53 322.66  
Close/Last 225.35 213.72 232.70 229.87 234.34 256.66 275.47 300.38 314.63 330.74 328.17  

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