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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 Sep 30, 2017
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   26 28 32 34 37 38 38 38 38 38 38
Closed Higher   13 16 23 23 17 19 23 21 22 14 16
Exceeded High   11 15 22 19 13 17 19 19 18 11 10
Scenario Percentage   85% 94% 96% 83% 76% 89% 83% 90% 82% 79% 63%
Avg Max Increase   11.68% 9.66% 10.41% 10.01% 9.46% 10.21% 12.73% 9.72% 8.22% 11.40% 17.22%
Max Increase   28.58% 23.82% 41.75% 52.14% 25.37% 24.90% 71.34% 38.14% 21.49% 26.77% 65.02%
Avg Days To Max Increase   14 16 19 16 16 18 17 15 15 18 25
Avg Max Decline   -1.05% -2.02% -2.56% -2.11% -1.46% -2.83% -1.78% -2.71% -3.17% -1.92% -1.98%
Max Decline   -4.68% -12.55% -8.71% -10.66% -5.26% -15.39% -8.11% -13.56% -13.28% -3.38% -7.37%
Avg Days to Max Decline   5 11 7 8 6 12 7 9 10 4 5
2018 Contract Condition     Yes         Yes Yes Yes    
Action     No         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   26 28 32 34 37 38 38 38 38 38 38
Closed Lower   13 12 9 11 20 19 15 17 16 24 22
Penetrated Low   7 7 6 7 13 15 9 10 14 21 21
Scenario Percentage   54% 58% 67% 64% 65% 79% 60% 59% 88% 88% 95%
Avg Max Decline   8.39% 5.72% 5.75% 8.02% 8.36% 8.79% 9.14% 13.52% 11.43% 14.52% 10.54%
Max Decline   17.36% 18.65% 13.94% 20.29% 18.27% 26.81% 24.06% 40.46% 44.00% 43.61% 31.02%
Avg Days To Max Decline   13 11 10 18 19 17 17 16 16 15 15
Avg Max Increase   -1.19% -1.62% -2.39% -2.89% -1.06% -1.91% -3.14% -1.31% -3.54% -2.69% -1.81%
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 7 15 3 8 10 15 8 6 3
2018 Contract Condition   Yes   Yes Yes Yes Yes       Yes  
Action   Yes   Yes Yes Yes No          
High 181.93 182.96 175.87 173.25 173.55 167.28 159.68 167.86 169.34 184.72 180.46  
Low 171.80 171.20 168.50 156.81 156.95 145.71 141.95 146.93 157.14 166.00 175.31  
Close/Last 180.43 171.85 172.12 164.33 158.26 157.87 152.63 167.40 169.19 180.29 176.36  

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