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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   24 27 28 29 30 31 33 33 33 33 33
Closed Higher   12 13 12 13 14 16 23 22 17 16 19
Exceeded High   10 8 8 13 11 15 22 17 12 16 16
Scenario Percentage   83% 62% 67% 100% 79% 94% 96% 77% 71% 100% 84%
Avg Max Increase   6.81% 9.53% 11.01% 8.52% 12.34% 11.32% 10.21% 8.49% 10.48% 11.20% 12.12%
Max Increase   17.20% 18.97% 18.12% 19.08% 28.33% 22.76% 42.06% 27.26% 24.33% 26.28% 65.72%
Avg Days To Max Increase   14 25 16 15 12 15 17 17 17 16 16
Avg Max Decline   -1.23% -2.31% -1.31% -1.64% -1.63% -1.19% -2.37% -2.64% -2.55% -3.84% -0.70%
Max Decline   -7.03% -4.10% -7.77% -7.22% -5.82% -4.98% -9.53% -13.97% -6.75% -17.00% -4.22%
Avg Days to Max Decline   5 11 7 9 5 9 9 9 8 14 3
2012 Contract Condition     Yes Yes   Yes Yes         Yes
Action     Yes No   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   24 27 28 29 30 31 33 33 33 33 33
Closed Lower   12 14 16 16 16 15 10 11 16 17 14
Penetrated Low   10 12 12 12 12 10 8 8 12 14 7
Scenario Percentage   83% 86% 75% 75% 75% 67% 80% 73% 75% 82% 50%
Avg Max Decline   10.80% 11.43% 12.66% 13.94% 11.76% 6.27% 7.94% 8.36% 8.08% 7.48% 6.40%
Max Decline   39.51% 36.96% 25.29% 35.34% 35.33% 20.48% 15.14% 21.18% 15.83% 19.86% 12.58%
Avg Days To Max Decline   18 18 21 19 14 10 20 16 16 15 12
Avg Max Increase   -0.92% -1.68% -0.73% -3.34% -1.28% -1.94% -2.45% -3.54% -1.51% -2.67% -1.89%
Max Increase   -4.82% -4.87% -6.03% -10.40% -6.27% -9.09% -5.78% -7.00% -7.54% -8.73% -6.50%
Avg Days to Max Increase   8 5 7 8 4 7 9 15 5 10 3
2012 Contract Condition   Yes     Yes     Yes Yes Yes Yes  
Action   Yes     No     Yes Yes Yes No  
High 312.29 304.27 295.34 307.01 300.87 306.03 330.02 332.96 328.24 320.43 274.62 295.03
Low 276.00 266.57 257.89 285.05 276.91 289.64 298.87 318.27 310.47 272.00 251.56 264.95
Close/Last 303.85 267.02 292.47 296.58 284.89 299.54 322.08 320.53 319.14 272.49 271.16 284.80

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