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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May NY Harbor ULSD(NYM) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   23 27 28 31 31 32 32 32 32 32 32
Closed Higher   12 15 20 17 18 15 15 15 13 15 23
Exceeded High   10 15 16 16 10 11 12 14 11 14 17
Scenario Percentage   83% 100% 80% 94% 56% 73% 80% 93% 85% 93% 74%
Avg Max Increase   9.94% 9.75% 10.18% 7.50% 9.79% 10.96% 11.60% 10.59% 13.32% 14.08% 10.30%
Max Increase   25.87% 23.36% 56.36% 29.50% 19.39% 21.64% 25.04% 30.08% 27.08% 29.40% 19.16%
Avg Days To Max Increase   18 17 17 16 16 20 13 18 13 13 17
Avg Max Decline   -0.90% -2.58% -0.94% -1.58% -1.68% -2.06% -1.74% -2.48% -2.42% -2.37% -1.40%
Max Decline   -4.80% -13.85% -7.35% -6.87% -7.85% -5.83% -8.29% -7.95% -7.14% -10.28% -4.36%
Avg Days to Max Decline   6 10 10 8 6 11 5 12 7 7 2
2011 Contract Condition       Yes   Yes   Yes Yes Yes Yes Yes
Action       Yes   Yes   Yes Yes Yes Yes Yes
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   23 27 28 31 31 32 32 32 32 32 32
Closed Lower   11 12 8 14 13 17 17 17 19 17 9
Penetrated Low   6 9 5 8 9 15 15 14 14 13 7
Scenario Percentage   55% 75% 63% 57% 69% 88% 88% 82% 74% 76% 78%
Avg Max Decline   5.15% 3.67% 8.71% 11.27% 11.41% 12.85% 11.56% 14.71% 13.33% 7.15% 6.67%
Max Decline   7.64% 10.22% 23.48% 38.52% 41.64% 40.53% 28.47% 39.03% 32.40% 20.93% 9.77%
Avg Days To Max Decline   13 14 17 16 16 18 19 20 15 11 11
Avg Max Increase   -0.61% -1.67% -3.35% -2.64% -1.68% -2.43% -2.48% -3.76% -2.96% -1.72% -2.77%
Max Increase   -2.79% -6.62% -9.00% -12.53% -6.39% -6.54% -9.43% -12.34% -10.85% -12.26% -7.79%
Avg Days to Max Increase   1 6 17 13 9 9 11 11 6 6 2
2011 Contract Condition   Yes Yes   Yes   Yes          
Action   No Yes   No   No          
High 249.93 254.20 229.76 222.13 232.70 230.33 236.41 245.39 255.69 274.68 307.31 314.26
Low 235.67 202.85 212.71 205.00 205.56 210.20 223.70 224.44 232.60 247.08 267.50 292.54
Close/Last 249.93 217.59 216.02 222.13 209.82 230.33 227.33 232.46 254.04 272.96 295.43 311.25

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