MRCI's ScenarioSM Study

ScenarioSM Study for August NY Harbor ULSD(NYM) as of Jan 01, 2014
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		25	28	28	29	30	31	32	34	34	34	34
Closed Higher		13	12	13	13	13	14	15	25	23	17	17
Exceeded High		11	10	8	10	12	11	14	24	17	12	15
Scenario Percentage		85%	83%	62%	77%	92%	79%	93%	96%	74%	71%	88%
Avg Max Increase		6.97%	7.01%	9.84%	9.40%	9.47%	10.82%	12.35%	10.68%	10.50%	11.02%	6.63%
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	16	17	11	14	16	16	17	17
Avg Max Decline		-1.27%	-2.04%	-2.51%	-1.47%	-1.96%	-1.55%	-1.28%	-2.34%	-2.85%	-2.79%	-1.83%
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	6	10	4	8	8	8	8	4
2013 Contract Condition		Yes			Yes		Yes		Yes			Yes
Action		Yes			Yes		Yes		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		25	28	28	29	30	31	32	34	34	34	34
Closed Lower		12	16	15	16	17	17	17	9	11	17	17
Penetrated Low		8	13	13	12	12	12	11	8	8	12	11
Scenario Percentage		67%	81%	87%	75%	71%	71%	65%	89%	73%	71%	65%
Avg Max Decline		11.86%	9.62%	11.06%	12.98%	14.38%	12.15%	7.24%	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	16	18	20	19	14	14	16	15	16	15
Avg Max Increase		-2.17%	-1.08%	-2.15%	-0.85%	-3.86%	-1.47%	-2.11%	-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	8	8	8	4	13	13	16	9	3
2013 Contract Condition			Yes	Yes		Yes		Yes		Yes	Yes
Action			Yes	Yes		No		Yes		No	No
High	293.00	307.05	311.38	306.75	303.84	304.14	311.07	320.45	305.57	307.56	295.33	298.94
Low	270.75	284.50	293.00	291.28	290.00	290.44	295.99	298.90	295.16	273.76	276.37	277.45
Close/Last	286.11	307.05	300.81	295.70	302.54	299.71	310.86	299.97	302.74	284.46	279.13	285.88