MRCI's ScenarioSM Study

ScenarioSM Study for August NY Harbor ULSD(NYM) as of Jan 01, 2013
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		24	27	27	28	29	30	31	33	33	33	33
Closed Higher		12	12	13	12	13	13	15	24	23	17	16
Exceeded High		10	10	8	9	12	10	14	23	17	12	14
Scenario Percentage		83%	83%	62%	75%	92%	77%	93%	96%	74%	71%	88%
Avg Max Increase		7.53%	7.01%	9.84%	10.13%	9.47%	11.59%	12.35%	11.07%	10.50%	11.02%	6.42%
Max Increase		25.68%	17.53%	19.33%	18.14%	19.50%	28.10%	23.37%	41.95%	30.49%	24.23%	13.78%
Avg Days To Max Increase		14	15	25	14	17	11	14	17	16	17	17
Avg Max Decline		-1.28%	-2.04%	-2.51%	-1.19%	-1.96%	-1.71%	-1.28%	-2.41%	-2.85%	-2.79%	-1.94%
Max Decline		-4.78%	-8.34%	-4.20%	-7.91%	-7.49%	-6.01%	-5.30%	-9.65%	-15.01%	-7.23%	-5.19%
Avg Days to Max Decline		10	5	14	5	10	4	8	9	8	8	4
2012 Contract Condition				Yes	Yes		Yes	Yes
Action				Yes	No		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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		24	27	27	28	29	30	31	33	33	33	33
Closed Lower		12	15	14	16	16	17	16	9	10	16	17
Penetrated Low		8	12	12	12	12	12	10	8	8	12	11
Scenario Percentage		67%	80%	86%	75%	75%	71%	63%	89%	80%	75%	65%
Avg Max Decline		11.86%	10.12%	11.82%	12.98%	14.38%	12.15%	7.09%	8.33%	8.55%	8.29%	6.58%
Max Decline		37.28%	39.95%	37.73%	26.57%	36.41%	35.98%	20.69%	15.31%	21.32%	16.25%	19.71%
Avg Days To Max Decline		19	17	19	20	19	14	13	16	15	16	15
Avg Max Increase		-2.17%	-1.01%	-2.29%	-0.85%	-3.86%	-1.47%	-2.07%	-2.61%	-3.89%	-1.88%	-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		13	9	9	8	8	4	11	13	16	9	3
2012 Contract Condition		Yes	Yes			Yes			Yes	Yes	Yes	Yes
Action		Yes	Yes			No			Yes	Yes	Yes	Not Yet
High	315.66	317.09	303.80	295.56	307.32	300.22	305.11	329.62	332.95	327.83	319.90	274.41
Low	298.16	276.00	266.17	257.30	285.00	276.00	288.16	298.48	318.08	310.09	270.86	250.84
Close/Last	311.91	303.27	266.60	292.17	295.94	284.37	299.12	321.59	319.81	318.82	271.30	270.99