MRCI's ScenarioSM Study

ScenarioSM Study for February NY Harbor ULSD(NYM) as of Jan 01, 2019
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		29	32	34	36	39	39	39	39	39	39	39
Closed Higher		17	23	21	16	19	24	22	23	17	18	20
Exceeded High		15	22	17	14	17	21	20	18	13	14	18
Scenario Percentage		88%	96%	81%	88%	89%	88%	91%	78%	76%	78%	90%
Avg Max Increase		9.61%	10.21%	7.54%	9.02%	10.17%	11.41%	9.54%	8.52%	12.06%	17.62%	9.73%
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	17	17	15	20	18	15
Avg Max Decline		-1.91%	-2.11%	-2.25%	-1.28%	-3.19%	-1.64%	-2.51%	-2.50%	-2.42%	-2.75%	-1.90%
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
2018 Contract Condition		Yes					Yes	Yes	Yes	Yes	Yes	Yes
Action		No					Yes	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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		29	32	34	36	39	39	39	39	39	39	39
Closed Lower		12	9	13	20	20	15	17	16	22	21	19
Penetrated Low		7	6	8	13	15	9	11	13	19	21	13
Scenario Percentage		58%	67%	62%	65%	75%	60%	65%	81%	86%	100%	68%
Avg Max Decline		5.38%	5.90%	8.10%	9.09%	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	10	18	17	16	14	17	16	17	19	19
Avg Max Increase		-1.84%	-2.72%	-2.99%	-1.58%	-1.99%	-2.96%	-2.43%	-2.98%	-2.41%	-4.11%	-1.82%
Max Increase		-4.04%	-5.50%	-6.60%	-7.53%	-7.54%	-18.08%	-15.56%	-16.37%	-7.70%	-15.03%	-17.42%
Avg Days to Max Increase		10	8	15	4	8	11	16	8	7	14	8
2018 Contract Condition			Yes	Yes	Yes	Yes
Action			Yes	Yes	Yes	No
High	181.81	176.34	173.37	173.70	167.12	159.07	167.62	168.32	183.68	188.34	196.43	208.33
Low	171.20	169.05	157.28	157.45	145.99	142.79	147.58	157.35	164.75	171.67	183.83	186.15
Close/Last	172.08	172.31	164.65	158.91	158.41	153.19	167.22	168.24	179.34	187.57	189.90	206.81