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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, 2014
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   25 28 29 30 31 32 34 34 34 34 34
Closed Higher   12 13 13 13 15 16 24 22 17 17 20
Exceeded High   10 8 9 13 12 15 23 17 12 17 17
Scenario Percentage   83% 62% 69% 100% 80% 94% 96% 77% 71% 100% 85%
Avg Max Increase   6.81% 9.53% 10.09% 8.52% 11.56% 11.32% 9.84% 8.49% 10.48% 10.98% 11.39%
Max Increase   17.20% 18.97% 18.12% 19.08% 28.33% 22.76% 42.06% 27.26% 24.33% 24.32% 65.72%
Avg Days To Max Increase   14 25 17 15 12 15 16 17 17 16 16
Avg Max Decline   -1.23% -2.31% -1.61% -1.64% -1.50% -1.19% -2.29% -2.64% -2.55% -3.54% -0.92%
Max Decline   -7.03% -4.10% -7.77% -7.22% -5.82% -4.98% -9.53% -13.97% -6.75% -17.00% -4.44%
Avg Days to Max Decline   5 11 7 9 5 9 9 9 8 11 3
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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   25 28 29 30 31 32 34 34 34 34 34
Closed Lower   13 15 16 17 16 16 10 12 17 17 14
Penetrated Low   11 13 12 12 12 11 8 8 12 14 7
Scenario Percentage   85% 87% 75% 71% 75% 69% 80% 67% 71% 82% 50%
Avg Max Decline   10.13% 10.69% 12.66% 13.94% 11.76% 6.42% 7.94% 8.36% 8.08% 7.48% 6.21%
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   17 17 21 19 14 11 20 16 16 15 12
Avg Max Increase   -1.02% -1.59% -0.73% -3.34% -1.28% -2.02% -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   9 5 7 8 4 9 9 15 5 10 3
2013 Contract Condition   Yes Yes   Yes   Yes   Yes Yes    
Action   Yes Yes   No   Yes   No No    
High 306.93 310.57 306.05 303.87 304.40 310.30 319.17 305.05 307.61 295.90 299.40 313.22
Low 285.00 292.86 290.40 289.79 290.31 295.62 298.38 294.95 275.55 277.12 278.73 285.45
Close/Last 306.93 300.14 295.37 302.25 299.35 310.17 299.27 302.67 285.19 280.12 286.33 305.50

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