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