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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, 2014
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   24 27 29 31 31 32 32 34 34 34 34
Closed Higher   10 13 13 15 15 23 21 16 16 22 18
Exceeded High   6 10 13 11 14 22 16 13 16 18 15
Scenario Percentage   60% 77% 100% 73% 93% 96% 76% 81% 100% 82% 83%
Avg Max Increase   6.89% 8.88% 8.31% 12.09% 11.73% 10.43% 8.47% 9.46% 11.54% 15.42% 9.23%
Max Increase   10.87% 18.00% 18.64% 28.21% 23.24% 41.86% 27.24% 23.89% 26.34% 79.92% 40.09%
Avg Days To Max Increase   24 15 16 13 14 16 16 16 18 15 19
Avg Max Decline   -1.83% -1.44% -1.37% -1.33% -1.14% -2.36% -2.40% -2.10% -3.46% -1.74% -1.53%
Max Decline   -2.90% -7.43% -7.00% -4.92% -4.83% -9.29% -13.06% -6.25% -16.96% -8.90% -7.16%
Avg Days to Max Decline   7 7 9 5 8 5 8 8 12 5 4
2013 Contract Condition     Yes   Yes   Yes     Yes Yes Yes
Action     Yes   Yes   Yes     Yes Yes Not Yet
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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   24 27 29 31 31 32 32 34 34 34 34
Closed Lower   14 14 16 16 16 9 11 17 18 12 16
Penetrated Low   12 10 11 12 11 7 7 11 14 8 8
Scenario Percentage   86% 71% 69% 75% 69% 78% 64% 65% 78% 67% 50%
Avg Max Decline   9.57% 10.95% 12.96% 11.55% 6.03% 7.39% 8.27% 8.23% 7.31% 10.27% 8.60%
Max Decline   36.46% 25.20% 34.01% 34.78% 19.48% 14.91% 20.97% 15.09% 19.21% 23.53% 19.20%
Avg Days To Max Decline   18 20 18 15 10 16 14 15 19 17 19
Avg Max Increase   -1.95% -0.91% -3.76% -0.83% -2.07% -2.82% -3.27% -1.17% -3.24% -4.89% -1.98%
Max Increase   -5.11% -5.77% -9.83% -6.11% -9.26% -5.66% -7.19% -7.37% -8.21% -21.03% -3.28%
Avg Days to Max Increase   5 6 9 3 9 10 12 3 13 11 8
2013 Contract Condition   Yes   Yes   Yes   Yes Yes      
Action   Yes   No   Yes   No No      
High 313.00 305.85 303.51 304.18 309.58 317.99 303.85 307.00 296.18 299.53 311.47 322.90
Low 292.75 290.84 290.00 290.27 295.70 297.77 294.37 276.20 277.75 279.58 285.88 292.61
Close/Last 299.97 295.35 302.05 299.09 309.58 298.56 302.44 285.76 281.07 286.71 305.75 313.66

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