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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   23 25 29 31 34 35 35 35 35 35 35
Closed Higher   13 14 22 20 16 17 23 19 21 14 15
Exceeded High   11 13 21 16 12 17 19 18 17 11 9
Scenario Percentage   85% 93% 95% 80% 75% 100% 83% 95% 81% 79% 60%
Avg Max Increase   11.68% 10.95% 10.00% 10.71% 9.89% 10.21% 12.73% 9.60% 8.34% 11.40% 19.78%
Max Increase   28.58% 23.82% 41.75% 52.14% 25.37% 24.90% 71.34% 38.14% 21.49% 26.77% 77.96%
Avg Days To Max Increase   14 14 18 17 16 18 17 15 16 18 25
Avg Max Decline   -1.05% -1.12% -2.31% -1.99% -1.43% -2.83% -1.78% -2.63% -3.31% -1.92% -2.13%
Max Decline   -4.68% -4.39% -8.71% -10.66% -5.26% -15.39% -8.11% -13.56% -13.28% -3.38% -7.37%
Avg Days to Max Decline   5 9 8 8 6 12 7 9 10 4 6
2013 Contract Condition   Yes Yes         Yes Yes     Yes
Action   Yes Yes         Yes Yes     Not Yet
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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 Nov
Tested Years   23 25 29 31 34 35 35 35 35 35 35
Closed Lower   10 11 7 11 18 18 12 16 14 21 20
Penetrated Low   7 7 5 7 12 14 6 9 12 18 19
Scenario Percentage   70% 64% 71% 64% 67% 78% 50% 56% 86% 86% 95%
Avg Max Decline   8.39% 5.72% 6.43% 8.02% 7.53% 7.50% 9.24% 13.24% 10.54% 13.59% 10.25%
Max Decline   17.36% 18.65% 13.94% 20.29% 13.51% 18.97% 24.06% 40.46% 44.00% 43.61% 31.02%
Avg Days To Max Decline   13 11 12 18 18 16 16 16 14 15 17
Avg Max Increase   -1.19% -1.62% -2.95% -2.89% -1.09% -2.10% -4.62% -1.42% -3.41% -2.66% -1.87%
Max Increase   -5.97% -3.71% -5.32% -6.82% -6.39% -7.53% -19.07% -5.36% -16.69% -8.52% -10.08%
Avg Days to Max Increase   3 11 8 15 3 9 14 16 8 7 5
2013 Contract Condition       Yes Yes Yes Yes     Yes Yes  
Action       Yes Yes Yes No     Yes Yes  
High 303.06 307.23 330.93 334.22 329.52 321.75 278.41 295.64 317.80 324.70 321.44 310.26
Low 280.37 297.40 301.88 321.58 313.17 277.00 255.57 266.87 285.39 300.93 299.08 293.87
Close/Last 287.34 301.83 323.75 321.88 320.62 277.42 273.20 287.56 317.10 312.55 305.19 306.07

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