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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, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   28 31 33 35 38 38 38 38 38 38 38
Closed Higher   16 23 21 16 19 23 21 22 16 17 19
Exceeded High   15 22 17 14 17 20 19 17 12 13 17
Scenario Percentage   94% 96% 81% 88% 89% 87% 90% 77% 75% 76% 89%
Avg Max Increase   9.61% 10.21% 7.54% 9.02% 10.17% 11.49% 9.41% 8.46% 12.15% 17.99% 10.09%
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   16 18 16 16 18 16 16 15 19 17 15
Avg Max Decline   -1.91% -2.11% -2.25% -1.28% -3.19% -1.42% -2.54% -2.40% -2.45% -2.81% -1.92%
Max Decline   -12.40% -8.55% -8.89% -5.26% -16.83% -8.09% -12.52% -12.46% -8.80% -7.99% -6.52%
Avg Days to Max Decline   11 8 8 8 12 8 7 8 8 8 6
2017 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes   Yes Yes
Action   Yes Yes Yes Yes No   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   28 31 33 35 38 38 38 38 38 38 38
Closed Lower   12 8 12 19 19 15 17 16 22 21 19
Penetrated Low   7 5 7 12 15 9 11 13 19 21 13
Scenario Percentage   58% 63% 58% 63% 79% 60% 65% 81% 86% 100% 68%
Avg Max Decline   5.38% 4.81% 7.80% 9.03% 7.69% 8.78% 11.94% 11.44% 15.14% 13.92% 13.81%
Max Decline   17.08% 13.65% 20.13% 17.77% 26.48% 24.16% 39.86% 43.17% 43.10% 38.40% 29.04%
Avg Days To Max Decline   11 11 18 17 16 14 17 16 17 19 19
Avg Max Increase   -1.84% -2.17% -2.68% -1.67% -1.99% -2.96% -2.43% -2.98% -2.41% -4.11% -1.82%
Max Increase   -4.04% -5.32% -6.60% -7.53% -7.54% -18.08% -15.56% -16.37% -7.70% -15.03% -17.42%
Avg Days to Max Increase   10 7 14 4 8 11 16 8 7 14 8
2017 Contract Condition             Yes     Yes    
Action             Yes     Yes    
High 139.90 130.82 141.58 151.91 159.50 164.48 161.61 160.06 157.31 167.05 160.62 173.59
Low 108.60 118.90 128.96 125.05 141.10 151.32 138.25 134.72 143.37 153.52 140.43 158.00
Close/Last 129.52 130.16 135.25 149.59 157.33 158.51 140.54 149.15 157.16 153.70 158.85 172.82

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