MRCI's ScenarioSM Study

ScenarioSM Study for September NY Harbor ULSD(NYM) as of Jan 01, 2015
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		26	29	30	31	32	33	35	35	35	35	35
Closed Higher		12	14	14	14	15	17	24	22	17	18	20
Exceeded High		10	9	10	13	12	16	23	17	12	17	17
Scenario Percentage		83%	64%	71%	93%	80%	94%	96%	77%	71%	94%	85%
Avg Max Increase		6.81%	8.95%	9.30%	8.52%	11.56%	10.75%	9.84%	8.49%	10.48%	10.47%	10.98%
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	26	18	15	12	14	16	17	17	15	14
Avg Max Decline		-1.23%	-2.34%	-1.58%	-1.64%	-1.50%	-1.05%	-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	8	9	5	9	9	9	8	11	3
2014 Contract Condition			Yes	Yes	Yes		Yes				Yes
Action			Yes	Yes	No		Yes				No

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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		26	29	30	31	32	33	35	35	35	35	35
Closed Lower		14	15	16	17	17	16	11	13	18	17	15
Penetrated Low		12	13	12	12	12	11	9	8	13	14	8
Scenario Percentage		86%	87%	75%	71%	71%	69%	82%	62%	72%	82%	53%
Avg Max Decline		9.43%	10.69%	12.66%	13.94%	11.76%	6.42%	7.36%	8.36%	7.61%	7.45%	5.69%
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		16	17	21	19	14	11	18	16	16	15	13
Avg Max Increase		-1.18%	-1.59%	-0.73%	-3.34%	-1.28%	-2.02%	-2.19%	-3.54%	-1.89%	-2.67%	-1.77%
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	8	15	6	10	3
2014 Contract Condition		Yes				Yes		Yes	Yes	Yes		Yes
Action		Yes				No		Yes	No	Yes		Yes
High	302.39	299.95	296.85	298.70	303.23	297.60	301.12	302.49	300.22	296.67	308.47	299.30
Low	286.00	285.35	284.90	283.12	292.52	285.81	286.22	287.00	284.27	288.11	286.19	284.05
Close/Last	296.80	288.15	290.70	296.60	300.55	288.27	295.78	292.32	292.01	289.96	298.55	288.99