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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October NY Harbor ULSD(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 18 21 23 25 25 26 26 28 28 28 28
Closed Higher 7 9 11 12 11 18 18 14 13 18 16
Exceeded High 4 7 11 8 10 17 14 11 13 14 13
Scenario Percentage 57% 78% 100% 67% 91% 94% 78% 79% 100% 78% 81%
Avg Max Increase 7.27% 9.27% 7.30% 13.12% 11.64% 8.98% 7.62% 9.08% 12.29% 17.72% 9.97%
Max Increase 10.87% 15.59% 17.88% 28.21% 23.24% 19.17% 16.75% 23.89% 26.34% 79.92% 40.09%
Avg Days To Max Increase 26 12 14 14 12 18 16 16 19 16 18
Avg Max Decline -1.52% -0.86% -0.80% -1.62% -1.13% -2.56% -2.63% -2.21% -2.72% -1.78% -1.05%
Max Decline -2.90% -2.23% -3.85% -4.92% -4.83% -9.29% -13.06% -6.25% -9.27% -8.90% -5.04%
Avg Days to Max Decline 7 7 8 5 10 5 9 9 13 6 4
2007 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 18 21 23 25 25 26 26 28 28 28 28
Closed Lower 11 12 12 13 14 8 8 13 15 10 12
Penetrated Low 10 9 9 10 10 6 6 9 12 7 8
Scenario Percentage 91% 75% 75% 77% 71% 75% 75% 69% 80% 70% 67%
Avg Max Decline 7.65% 9.36% 12.03% 11.70% 5.89% 6.13% 6.16% 8.05% 7.27% 8.38% 16.10%
Max Decline 14.67% 23.72% 34.01% 34.78% 19.48% 8.79% 8.47% 15.09% 19.21% 22.88% 48.42%
Avg Days To Max Decline 19 20 19 15 9 14 13 13 20 17 16
Avg Max Increase -1.77% -1.29% -3.07% -0.30% -1.99% -2.87% -3.76% -1.04% -2.48% -5.27% -6.07%
Max Increase -3.58% -5.77% -7.23% -3.23% -9.26% -5.66% -7.19% -7.37% -8.21% -21.03% -22.44%
Avg Days to Max Increase 6 7 9 2 7 11 14 2 10 13 12
2007 Contract Condition Yes   Yes Yes     Yes Yes     Yes
Action Yes   Yes No     Yes No     Yes
High 194.82 194.70 194.74 182.95 188.03 199.11 202.55 202.18 210.07 217.88 213.88
Low 183.70 182.16 182.98 162.00 173.00 178.65 189.79 188.30 195.25 205.28 195.07
Close/Last 185.65 193.85 183.87 177.23 187.71 197.54 197.48 195.41 207.64 214.12 205.74

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