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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 Aug 18, 2023
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   32 34 38 40 43 44 44 44 44 44 44
Closed Higher   17 20 25 27 21 24 27 24 26 17 19
Exceeded High   14 18 24 22 16 21 23 21 21 13 13
Scenario Percentage   82% 90% 96% 81% 76% 88% 85% 88% 81% 76% 68%
Avg Max Increase   13.20% 10.13% 11.15% 10.76% 10.04% 9.07% 11.77% 9.79% 8.22% 10.96% 16.63%
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 18 19 16 15 17 17 15 15 18 25
Avg Max Decline   -0.89% -2.04% -2.48% -2.05% -1.20% -2.93% -2.84% -2.65% -2.98% -1.97% -1.93%
Max Decline   -4.68% -12.55% -8.71% -10.66% -5.26% -15.39% -13.43% -13.56% -13.28% -3.38% -7.37%
Avg Days to Max Decline   4 12 7 8 6 12 8 9 9 4 5
2023 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes   Yes  
Action   Yes Yes Yes Yes Yes No   No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   32 34 38 40 43 44 44 44 44 44 44
Closed Lower   15 14 13 13 22 20 17 20 18 27 25
Penetrated Low   9 8 9 8 15 15 10 11 15 23 24
Scenario Percentage   60% 57% 69% 62% 68% 75% 59% 55% 83% 85% 96%
Avg Max Decline   11.20% 9.45% 7.83% 8.31% 8.24% 8.79% 9.50% 13.86% 11.49% 14.86% 10.70%
Max Decline   33.33% 35.60% 16.38% 20.29% 18.27% 26.81% 24.06% 40.46% 44.00% 43.61% 31.02%
Avg Days To Max Decline   15 13 14 18 18 17 18 17 15 15 17
Avg Max Increase   -1.61% -2.08% -4.43% -3.24% -1.05% -1.91% -4.16% -1.38% -3.56% -2.60% -2.26%
Max Increase   -5.97% -5.30% -12.96% -6.82% -6.39% -7.53% -19.07% -5.36% -16.69% -8.52% -10.08%
Avg Days to Max Increase   5 10 8 16 3 8 12 14 8 6 4
2023 Contract Condition               Yes   Yes   Yes
Action               Yes   No   Yes
High 228.76 249.31 276.08 314.00 322.82 356.89 398.94 362.28 380.63 354.16 370.15 371.73
Low 198.04 222.89 246.61 261.90 286.85 308.03 343.41 310.57 304.97 293.01 312.49 310.81
Close/Last 223.55 247.44 261.40 286.13 316.01 345.28 348.27 335.79 348.35 307.35 350.05 336.35

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