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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, 2013
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   22 26 28 29 32 33 34 34 34 34 34
Closed Higher   11 13 14 16 24 22 17 16 21 18 21
Exceeded High   7 13 11 15 23 17 13 16 18 18 16
Scenario Percentage   64% 100% 79% 94% 96% 77% 76% 100% 86% 100% 76%
Avg Max Increase   10.29% 8.08% 11.89% 11.55% 12.29% 10.96% 9.25% 10.82% 14.54% 10.29% 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% -1.27% -1.44% -2.18% -2.00% -1.50% -3.47% -2.45% -3.00% -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 9 8 3
2012 Contract Condition   Yes   Yes Yes         Yes Yes  
Action   No   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   22 26 28 29 32 33 34 34 34 34 34
Closed Lower   11 13 14 13 8 11 17 18 13 16 13
Penetrated Low   8 10 10 8 7 8 12 14 7 10 8
Scenario Percentage   73% 77% 71% 62% 88% 73% 71% 78% 54% 63% 62%
Avg Max Decline   8.71% 12.49% 10.47% 4.92% 7.10% 7.15% 7.88% 8.11% 11.86% 12.65% 9.49%
Max Decline   25.03% 32.60% 34.45% 18.95% 14.57% 20.84% 14.27% 19.18% 23.89% 41.36% 34.78%
Avg Days To Max Decline   19 18 15 8 15 15 17 17 17 15 16
Avg Max Increase   -1.17% -3.95% -1.56% -1.21% -2.69% -3.56% -1.10% -2.30% -4.75% -2.20% -1.56%
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 9 14 3 10 13 13 5
2012 Contract Condition     Yes     Yes Yes Yes Yes     Yes
Action     No     Yes Yes Yes No     Yes
High 296.53 308.14 301.81 307.10 330.64 333.89 329.11 321.12 275.88 295.64 319.05 326.33
Low 260.00 289.89 279.05 291.92 300.79 320.82 311.90 274.65 253.35 265.86 284.38 302.27
Close/Last 293.77 298.37 286.62 300.77 323.13 321.48 320.05 275.07 272.10 286.47 317.86 315.92

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