MRCI's ScenarioSM Study

ScenarioSM Study for December NY Harbor ULSD(NYM) as of Jan 01, 2010
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	24	26	27	29	31	31	31	31	31	31	31
Closed Higher	12	13	12	21	19	17	15	19	17	20	13
Exceeded High	12	10	11	20	14	13	15	15	17	17	8
Scenario Percentage	100%	77%	92%	95%	74%	76%	100%	79%	100%	85%	62%
Avg Max Increase	7.08%	10.86%	12.23%	10.63%	8.93%	9.36%	10.75%	15.26%	10.60%	8.11%	7.42%
Max Increase	17.69%	28.35%	23.37%	42.04%	28.68%	24.91%	24.98%	74.87%	38.50%	21.61%	18.25%
Avg Days To Max Increase	14	14	13	18	19	15	18	19	14	13	18
Avg Max Decline	-1.49%	-1.84%	-1.23%	-1.96%	-2.23%	-1.52%	-3.14%	-2.27%	-2.94%	-3.04%	-1.43%
Max Decline	-6.64%	-5.08%	-4.52%	-7.19%	-11.13%	-5.77%	-15.93%	-8.30%	-14.50%	-13.85%	-2.99%
Avg Days to Max Decline	9	7	9	6	9	5	13	9	7	4	4
2009 Contract Condition				Yes		Yes	Yes				Yes
Action				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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years	24	26	27	29	31	31	31	31	31	31	31
Closed Lower	12	13	15	8	12	14	16	12	14	11	18
Penetrated Low	10	9	9	5	7	10	13	6	10	9	14
Scenario Percentage	83%	69%	60%	62%	58%	71%	81%	50%	71%	82%	78%
Avg Max Decline	9.76%	11.19%	5.66%	5.56%	5.47%	7.46%	7.79%	9.77%	11.51%	12.81%	20.75%
Max Decline	22.42%	34.29%	19.09%	7.74%	7.80%	13.88%	19.13%	24.22%	41.23%	43.86%	59.97%
Avg Days To Max Decline	20	16	8	7	16	16	18	17	17	14	18
Avg Max Increase	-4.49%	-0.95%	-1.63%	-2.51%	-4.01%	-0.97%	-1.82%	-5.02%	-2.33%	-4.51%	-3.86%
Max Increase	-9.89%	-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	20	13	9	7
2009 Contract Condition	Yes	Yes	Yes		Yes			Yes	Yes	Yes
Action	Yes	Yes	No		No			No	Yes	No
High	191.19	187.60	163.27	170.80	166.78	185.61	204.07	198.41	205.57	191.76	215.78
Low	147.86	154.31	132.91	134.75	148.19	151.39	188.06	163.57	184.58	171.88	176.77
Close/Last	170.71	162.50	147.13	156.84	153.50	185.37	194.57	193.46	187.11	185.90	200.52