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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December NY Harbor ULSD(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 22 24 25 27 29 29 29 29 29 29 29
Closed Higher 11 13 11 19 18 15 13 19 17 20 12
Exceeded High 11 10 10 18 13 11 13 15 17 17 8
Scenario Percentage 100% 77% 91% 95% 72% 73% 100% 79% 100% 85% 67%
Avg Max Increase 6.89% 10.86% 11.47% 8.46% 7.41% 8.91% 11.50% 15.26% 10.60% 8.11% 7.42%
Max Increase 17.69% 28.35% 23.37% 18.51% 14.78% 24.91% 24.98% 74.87% 38.50% 21.61% 18.25%
Avg Days To Max Increase 13 14 13 17 18 16 19 19 14 13 18
Avg Max Decline -1.03% -1.84% -1.14% -1.80% -2.21% -1.64% -2.21% -2.27% -2.94% -3.04% -1.43%
Max Decline -3.74% -5.08% -4.52% -7.19% -11.13% -5.77% -7.42% -8.30% -14.50% -13.85% -2.99%
Avg Days to Max Decline 8 7 9 5 10 5 14 9 7 4 4
2007 Contract Condition     Yes Yes     Yes Yes   Yes Yes
Action     Yes Yes     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 22 24 25 27 29 29 29 29 29 29 29
Closed Lower 11 11 14 8 11 14 16 10 12 9 17
Penetrated Low 9 8 9 5 7 10 13 5 8 8 13
Scenario Percentage 82% 73% 64% 62% 64% 71% 81% 50% 67% 89% 76%
Avg Max Decline 8.38% 10.32% 5.66% 5.56% 5.47% 7.46% 7.79% 6.88% 8.22% 8.93% 20.71%
Max Decline 22.42% 34.29% 19.09% 7.74% 7.80% 13.88% 19.13% 15.25% 22.58% 26.63% 59.97%
Avg Days To Max Decline 20 16 8 7 16 16 18 17 15 13 18
Avg Max Increase -3.89% -1.00% -1.63% -2.51% -4.01% -0.97% -1.82% -5.61% -2.40% -4.88% -3.69%
Max Increase -7.71% -3.91% -10.40% -5.43% -6.95% -6.42% -7.66% -19.25% -5.86% -20.44% -12.34%
Avg Days to Max Increase 11 4 6 3 19 2 8 24 14 10 8
2007 Contract Condition Yes Yes     Yes Yes     Yes    
Action Yes No     No No     No    
High 200.04 188.00 194.00 204.57 207.40 208.60 213.76 221.43 216.84 229.75 254.46
Low 188.50 167.00 178.28 184.77 193.37 193.54 200.63 209.71 199.28 208.74 216.00
Close/Last 189.97 182.88 193.51 202.89 202.68 201.26 211.44 217.32 208.59 224.26 252.93

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