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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 20 23 25 27 30 30 30 30 30 30 30
Closed Higher 11 18 16 13 15 19 17 20 14 12 15
Exceeded High 10 17 13 11 15 16 17 15 11 8 13
Scenario Percentage 91% 94% 81% 85% 100% 84% 100% 75% 79% 67% 87%
Avg Max Increase 11.50% 10.13% 8.27% 9.69% 10.47% 12.83% 9.67% 8.71% 12.84% 23.69% 11.62%
Max Increase 23.87% 42.31% 29.01% 25.18% 25.14% 65.58% 34.76% 21.36% 34.13% 55.32% 44.01%
Avg Days To Max Increase 14 19 18 17 18 18 17 15 20 15 14
Avg Max Decline -1.12% -2.07% -2.33% -1.53% -2.66% -1.53% -2.50% -2.48% -2.42% -2.29% -1.69%
Max Decline -4.31% -8.55% -8.89% -5.26% -16.83% -8.09% -12.52% -12.46% -8.80% -6.73% -6.52%
Avg Days to Max Decline 10 7 10 9 13 9 7 7 9 5 6
2009 Contract Condition Yes Yes Yes Yes Yes            
Action 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 20 23 25 27 30 30 30 30 30 30 30
Closed Lower 9 5 9 14 15 11 13 10 16 18 15
Penetrated Low 6 3 6 9 12 6 8 8 14 18 11
Scenario Percentage 67% 60% 67% 64% 80% 55% 62% 80% 88% 100% 73%
Avg Max Decline 5.30% 2.73% 5.75% 8.13% 6.13% 8.76% 11.80% 12.81% 15.20% 12.13% 22.02%
Max Decline 17.08% 3.75% 8.04% 16.22% 18.93% 24.16% 39.86% 43.17% 43.10% 30.75% 55.73%
Avg Days To Max Decline 10 8 17 14 15 11 17 16 16 19 17
Avg Max Increase -1.70% -2.96% -3.11% -1.83% -1.39% -4.45% -3.02% -3.05% -2.58% -4.11% -2.91%
Max Increase -4.04% -5.32% -6.60% -7.53% -7.40% -18.08% -15.56% -16.37% -7.70% -15.03% -17.42%
Avg Days to Max Increase 6 12 16 3 5 14 18 8 7 14 11
2009 Contract Condition           Yes Yes Yes Yes Yes Yes
Action           Yes Yes Yes Yes Yes No
High 280.83 302.75 336.25 412.50 415.02 431.40 367.94 320.91 296.44 226.01 174.00
Low 245.25 275.13 287.25 314.25 368.08 358.66 317.75 274.00 198.00 168.25 121.36
Close/Last 279.74 289.86 321.70 379.87 407.85 361.28 329.24 296.07 213.27 175.26 144.21

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