MRCI's ScenarioSM Study

ScenarioSM Study for October NY Harbor ULSD(NYM) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		19	22	24	26	26	27	27	29	29	29	29
Closed Higher		8	9	12	12	12	19	19	15	14	18	16
Exceeded High		5	7	12	8	11	18	15	12	14	14	14
Scenario Percentage		63%	78%	100%	67%	92%	95%	79%	80%	100%	78%	88%
Avg Max Increase		7.29%	9.27%	7.45%	13.12%	12.44%	10.81%	8.93%	9.39%	11.84%	17.78%	9.70%
Max Increase		10.87%	15.59%	17.88%	28.21%	23.24%	41.86%	27.24%	23.89%	26.34%	79.92%	40.09%
Avg Days To Max Increase		26	12	15	14	13	18	17	16	18	16	19
Avg Max Decline		-1.68%	-0.86%	-1.31%	-1.62%	-1.21%	-2.49%	-2.62%	-2.31%	-2.72%	-1.78%	-1.49%
Max Decline		-2.90%	-2.23%	-7.00%	-4.92%	-4.83%	-9.29%	-13.06%	-6.25%	-9.27%	-8.90%	-7.16%
Avg Days to Max Decline		8	7	9	5	9	5	9	8	13	6	4
2008 Contract Condition		Yes		Yes		Yes	Yes	Yes	Yes	Yes
Action		Yes		Yes		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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		19	22	24	26	26	27	27	29	29	29	29
Closed Lower		11	13	12	14	14	8	8	13	15	11	13
Penetrated Low		10	9	9	10	10	6	6	9	12	8	7
Scenario Percentage		91%	69%	75%	71%	71%	75%	75%	69%	80%	73%	54%
Avg Max Decline		7.65%	9.36%	12.03%	11.70%	5.89%	6.13%	6.16%	8.05%	7.27%	10.27%	8.64%
Max Decline		14.67%	23.72%	34.01%	34.78%	19.48%	8.79%	8.47%	15.09%	19.21%	23.53%	19.20%
Avg Days To Max Decline		19	20	19	15	9	14	13	13	20	17	18
Avg Max Increase		-1.77%	-1.29%	-3.07%	-0.30%	-1.99%	-2.87%	-3.76%	-1.04%	-2.48%	-4.89%	-1.88%
Max Increase		-3.58%	-5.77%	-7.23%	-3.23%	-9.26%	-5.66%	-7.19%	-7.37%	-8.21%	-21.03%	-3.28%
Avg Days to Max Increase		6	7	9	2	7	11	14	2	10	11	7
2008 Contract Condition			Yes		Yes						Yes	Yes
Action			No		No						Yes	Yes
High	216.94	239.23	249.12	256.80	262.89	277.68	302.10	334.39	408.07	407.61	422.64	356.98
Low	202.05	210.48	233.73	234.90	236.63	239.90	271.99	283.50	312.75	362.10	346.49	305.40
Close/Last	212.91	239.23	235.35	254.44	250.06	276.89	287.66	320.70	374.67	398.50	349.33	319.19