MRCI's ScenarioSM Study

ScenarioSM Study for November 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years	17	21	23	24	27	28	29	29	29	29	29
Closed Higher	8	11	12	12	20	19	15	13	18	17	20
Exceeded High	5	11	9	11	19	15	11	13	15	17	15
Scenario Percentage	62%	100%	75%	92%	95%	79%	73%	100%	83%	100%	75%
Avg Max Increase	10.18%	7.06%	11.70%	11.46%	10.93%	10.47%	8.87%	11.83%	15.92%	10.73%	5.48%
Max Increase	15.12%	17.61%	28.01%	23.28%	51.12%	53.09%	23.81%	24.96%	76.22%	39.38%	15.65%
Avg Days To Max Increase	14	12	12	13	19	17	15	18	18	13	14
Avg Max Decline	-0.81%	-0.74%	-1.48%	-1.51%	-2.29%	-2.17%	-1.60%	-2.36%	-2.25%	-2.89%	-2.38%
Max Decline	-2.17%	-3.79%	-4.81%	-5.33%	-8.88%	-11.99%	-5.77%	-8.22%	-8.55%	-15.12%	-13.24%
Avg Days to Max Decline	8	8	5	10	7	9	9	13	9	7	3
2007 Contract Condition	Yes			Yes	Yes			Yes	Yes		Yes
Action	No			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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years	17	21	23	24	27	28	29	29	29	29	29
Closed Lower	9	10	11	12	7	9	14	16	11	12	9
Penetrated Low	6	8	8	8	6	7	10	13	6	7	9
Scenario Percentage	67%	80%	73%	67%	86%	78%	71%	81%	55%	58%	100%
Avg Max Decline	7.31%	11.42%	10.44%	4.92%	5.85%	5.20%	7.64%	8.05%	9.86%	9.17%	19.15%
Max Decline	11.76%	32.60%	34.45%	18.95%	7.76%	8.08%	14.27%	19.18%	22.78%	22.62%	51.44%
Avg Days To Max Decline	21	20	16	8	13	13	15	18	17	14	12
Avg Max Increase	-1.78%	-3.21%	-1.11%	-1.21%	-2.74%	-4.02%	-0.96%	-1.91%	-5.19%	-2.30%	-5.69%
Max Increase	-5.51%	-6.87%	-3.19%	-5.12%	-5.55%	-7.55%	-6.77%	-7.93%	-19.87%	-6.87%	-19.92%
Avg Days to Max Increase	9	8	5	6	11	16	2	9	15	15	9
2007 Contract Condition		Yes	Yes			Yes	Yes			Yes
Action		Yes	No			Yes	No			No
High	197.50	197.34	183.70	190.78	201.75	204.25	205.79	211.85	219.54	215.67	228.25
Low	185.01	185.50	164.00	176.21	182.20	193.00	190.80	198.36	207.77	197.50	207.55
Close/Last	196.40	186.87	180.08	190.76	200.49	200.08	198.36	209.54	215.97	207.49	222.56