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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November NY Harbor ULSD(NYM) as of Jan 01, 2010
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 19 23 25 26 29 30 31 31 31 31 31
Closed Higher 8 12 12 13 22 20 17 15 18 17 20
Exceeded High 5 12 9 12 21 16 13 15 15 17 15
Scenario Percentage 62% 100% 75% 92% 95% 80% 76% 100% 83% 100% 75%
Avg Max Increase 10.18% 7.23% 11.70% 12.17% 12.76% 11.55% 9.25% 11.02% 15.92% 10.73% 5.45%
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 14 12 14 20 17 15 17 18 13 14
Avg Max Decline -0.81% -1.24% -1.48% -1.55% -2.39% -2.18% -1.50% -3.32% -2.25% -2.89% -2.38%
Max Decline -2.17% -6.74% -4.81% -5.33% -8.88% -11.99% -5.77% -16.48% -8.55% -15.12% -13.24%
Avg Days to Max Decline 8 9 5 9 8 9 8 12 9 7 3
2009 Contract Condition         Yes   Yes Yes      
Action         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 19 23 25 26 29 30 31 31 31 31 31
Closed Lower 11 11 13 13 7 10 14 16 13 14 11
Penetrated Low 8 9 9 8 6 7 10 13 7 9 10
Scenario Percentage 73% 82% 69% 62% 86% 70% 71% 81% 54% 64% 91%
Avg Max Decline 8.71% 12.58% 11.26% 4.92% 5.85% 5.20% 7.64% 8.05% 11.86% 12.26% 20.79%
Max Decline 25.03% 32.60% 34.45% 18.95% 7.76% 8.08% 14.27% 19.18% 23.89% 41.36% 51.44%
Avg Days To Max Decline 19 20 16 8 13 13 15 18 17 14 14
Avg Max Increase -1.17% -3.97% -1.07% -1.21% -2.74% -4.02% -0.96% -1.91% -4.75% -2.42% -5.31%
Max Increase -5.51% -10.05% -3.19% -5.12% -5.55% -7.55% -6.77% -7.93% -19.87% -6.87% -19.92%
Avg Days to Max Increase 7 8 5 6 11 16 2 9 13 14 8
2009 Contract Condition Yes Yes Yes Yes   Yes     Yes Yes Yes
Action Yes Yes Yes No   No     No Yes No
High 238.00 189.42 185.00 161.00 167.63 163.65 182.53 200.05 195.53 202.56 188.78
Low 186.60 145.26 152.15 131.40 132.67 145.80 148.85 185.00 160.00 181.40 168.66
Close/Last 193.76 168.11 159.75 144.43 153.99 150.25 182.37 191.57 189.83 183.94 183.24

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