MRCI's ScenarioSM Study

ScenarioSM Study for November NY Harbor ULSD(NYM) as of Dec 30, 2011
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	Sep
Tested Years		21	25	27	28	31	32	33	33	33	33	33
Closed Higher		10	13	13	15	24	22	17	16	20	17	21
Exceeded High		7	13	10	14	23	17	13	16	17	17	16
Scenario Percentage		70%	100%	77%	93%	96%	77%	76%	100%	85%	100%	76%
Avg Max Increase		10.29%	8.08%	11.98%	12.12%	12.29%	10.96%	9.25%	10.82%	14.57%	10.73%	5.32%
Max Increase		17.86%	18.20%	28.01%	23.28%	51.12%	53.09%	23.81%	24.96%	76.22%	39.38%	15.65%
Avg Days To Max Increase		15	15	12	15	18	16	15	16	18	13	14
Avg Max Decline		-1.22%	-1.30%	-1.40%	-1.56%	-2.18%	-2.00%	-1.50%	-3.47%	-2.55%	-2.89%	-2.25%
Max Decline		-7.40%	-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		7	9	5	9	7	8	8	12	10	7	3
2011 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes			Yes
Action		Yes	Yes	Yes	Yes	Yes	No			Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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	Sep
Tested Years		21	25	27	28	31	32	33	33	33	33	33
Closed Lower		11	12	14	13	7	10	16	17	13	16	12
Penetrated Low		8	10	10	8	6	7	11	14	7	10	7
Scenario Percentage		73%	83%	71%	62%	86%	70%	69%	82%	54%	63%	58%
Avg Max Decline		8.71%	12.49%	10.47%	4.92%	5.85%	5.20%	7.88%	8.11%	11.86%	12.65%	10.19%
Max Decline		25.03%	32.60%	34.45%	18.95%	7.76%	8.08%	14.27%	19.18%	23.89%	41.36%	34.78%
Avg Days To Max Decline		19	18	15	8	13	13	16	17	17	15	15
Avg Max Increase		-1.17%	-3.95%	-1.56%	-1.21%	-2.74%	-4.02%	-1.17%	-2.30%	-4.75%	-2.20%	-1.29%
Max Increase		-5.51%	-10.05%	-6.01%	-5.12%	-5.55%	-7.55%	-6.77%	-7.93%	-19.87%	-6.87%	-3.89%
Avg Days to Max Increase		7	8	5	6	11	16	3	10	13	13	5
2011 Contract Condition								Yes	Yes		Yes	Yes
Action								Yes	Yes		Yes	Yes
High	242.71	251.25	260.49	281.86	307.91	321.01	339.21	336.18	321.80	318.65	321.91	309.75
Low	232.07	233.57	246.05	255.45	278.50	300.00	317.86	285.20	279.56	293.53	273.25	276.24
Close/Last	235.46	239.15	260.49	280.41	305.43	318.88	335.25	311.46	299.64	312.82	309.04	277.93