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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, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   28 30 31 33 35 35 35 35 35 35 35
Closed Higher   13 16 15 24 21 17 17 23 19 21 14
Exceeded High   13 13 14 23 15 13 17 19 18 18 9
Scenario Percentage   100% 81% 93% 96% 71% 76% 100% 83% 95% 86% 64%
Avg Max Increase   8.18% 10.52% 11.57% 9.96% 8.45% 9.36% 10.64% 13.48% 10.16% 8.08% 7.11%
Max Increase   21.40% 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   15 14 14 16 18 15 18 17 14 13 17
Avg Max Decline   -1.54% -1.52% -1.24% -1.78% -2.09% -1.52% -3.11% -2.10% -2.88% -3.06% -1.59%
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 6 8 5 9 5 12 8 7 5 3
2013 Contract Condition     Yes   Yes     Yes Yes Yes    
Action     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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   28 30 31 33 35 35 35 35 35 35 35
Closed Lower   15 14 16 9 14 18 18 12 16 14 21
Penetrated Low   11 10 10 6 8 12 14 6 11 12 15
Scenario Percentage   73% 71% 63% 67% 57% 67% 78% 50% 69% 86% 71%
Avg Max Decline   9.95% 10.44% 5.79% 7.02% 7.37% 7.71% 7.88% 9.77% 11.65% 10.81% 9.13%
Max Decline   22.42% 34.29% 19.09% 14.29% 20.65% 13.88% 19.13% 24.22% 41.23% 43.86% 21.31%
Avg Days To Max Decline   18 15 9 11 17 18 17 17 16 12 17
Avg Max Increase   -4.43% -1.46% -1.76% -2.52% -3.56% -1.12% -2.21% -5.02% -2.14% -3.95% -2.14%
Max Increase   -9.89% -6.11% -10.40% -5.43% -6.95% -6.42% -7.66% -19.25% -5.86% -20.44% -6.10%
Avg Days to Max Increase   10 4 9 3 17 4 10 20 13 8 3
2013 Contract Condition   Yes   Yes   Yes Yes       Yes Yes
Action   No   Yes   No No       Yes Yes
High 303.31 304.88 308.93 316.35 302.17 305.98 296.70 300.37 310.23 321.16 316.93 307.30
Low 289.84 289.82 294.07 296.48 293.19 276.50 278.33 281.06 286.21 293.40 292.50 289.05
Close/Last 301.71 298.39 308.64 297.21 301.24 286.19 282.61 287.07 305.15 312.74 296.71 295.39

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