|
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 |
|
|
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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