MRCI's ScenarioSM Study

ScenarioSM Study for November NY Harbor ULSD(NYM) as of Jan 01, 2014
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		23	27	29	30	33	34	35	35	35	35	35
Closed Higher		12	13	15	16	25	22	17	17	22	19	21
Exceeded High		8	13	12	15	24	17	13	17	19	18	16
Scenario Percentage		67%	100%	80%	94%	96%	77%	76%	100%	86%	95%	76%
Avg Max Increase		9.31%	8.08%	11.11%	11.55%	11.83%	10.96%	9.25%	10.91%	14.06%	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		17	15	12	15	18	16	15	17	18	13	14
Avg Max Decline		-1.56%	-1.30%	-1.17%	-1.44%	-2.12%	-2.00%	-1.50%	-3.26%	-2.54%	-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		8	9	5	9	7	8	8	11	9	8	3
2013 Contract Condition		Yes		Yes		Yes			Yes	Yes	Yes
Action		Yes		Yes		Yes			Yes	Yes	No

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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		23	27	29	30	33	34	35	35	35	35	35
Closed Lower		11	14	14	14	8	12	18	18	13	16	14
Penetrated Low		8	10	10	9	7	8	12	14	7	10	9
Scenario Percentage		73%	71%	71%	64%	88%	67%	67%	78%	54%	63%	64%
Avg Max Decline		8.71%	12.49%	10.47%	5.16%	7.10%	7.15%	7.88%	8.11%	11.86%	12.65%	8.73%
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	9	15	15	17	17	17	15	17
Avg Max Increase		-1.17%	-3.95%	-1.56%	-1.37%	-2.69%	-3.56%	-1.10%	-2.30%	-4.75%	-2.20%	-1.79%
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	9	9	14	3	10	13	13	6
2013 Contract Condition			Yes		Yes		Yes	Yes				Yes
Action			No		Yes		No	No				Yes
High	305.72	303.73	301.71	309.27	317.07	302.20	305.81	296.29	299.59	310.78	322.35	317.53
Low	290.74	290.60	290.27	295.56	297.13	293.92	276.81	278.15	280.51	287.37	293.16	292.95
Close/Last	295.45	301.95	298.80	309.07	297.86	301.89	286.07	281.93	286.92	305.61	313.46	297.15