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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March NY Harbor ULSD(NYM) as of Dec 30, 2016
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 Jan
Tested Years   26 29 30 36 37 37 37 37 37 37 37
Closed Higher   19 20 13 18 23 20 20 19 17 19 13
Exceeded High   19 16 11 17 19 17 16 15 13 17 9
Scenario Percentage   100% 80% 85% 94% 83% 85% 80% 79% 76% 89% 69%
Avg Max Increase   10.14% 7.26% 9.51% 9.88% 10.85% 9.16% 8.55% 10.36% 14.08% 11.86% 10.86%
Max Increase   42.43% 29.78% 25.61% 24.85% 62.05% 33.12% 23.00% 25.47% 34.25% 41.13% 26.53%
Avg Days To Max Increase   17 16 20 18 17 16 14 19 17 17 16
Avg Max Decline   -1.95% -1.77% -1.45% -3.13% -1.17% -2.05% -2.25% -2.67% -2.45% -3.49% -1.84%
Max Decline   -8.64% -7.69% -5.71% -17.69% -8.00% -10.58% -10.07% -8.35% -8.24% -13.01% -9.43%
Avg Days to Max Decline   11 6 8 12 9 8 7 12 6 9 4
2016 Contract Condition     Yes       Yes          
Action     Yes       No          
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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 Jan
Tested Years   26 29 30 36 37 37 37 37 37 37 37
Closed Lower   7 9 17 18 13 17 17 18 20 18 24
Penetrated Low   4 5 11 14 8 11 13 16 20 14 12
Scenario Percentage   57% 56% 65% 78% 62% 65% 76% 89% 100% 78% 50%
Avg Max Decline   5.07% 7.66% 9.32% 6.85% 9.14% 11.62% 11.19% 16.02% 13.90% 16.31% 9.74%
Max Decline   13.20% 20.05% 17.56% 26.31% 23.72% 39.41% 42.24% 42.17% 38.36% 37.84% 20.51%
Avg Days To Max Decline   14 19 18 18 19 17 15 19 20 16 15
Avg Max Increase   -1.52% -2.77% -1.42% -2.25% -2.72% -2.41% -2.24% -2.57% -3.88% -3.62% -2.60%
Max Increase   -2.34% -5.79% -8.44% -7.59% -12.77% -14.75% -7.13% -7.75% -12.74% -14.44% -11.57%
Avg Days to Max Increase   8 10 4 12 11 15 8 10 14 10 4
2016 Contract Condition   Yes   Yes Yes Yes   Yes Yes Yes Yes Yes
Action   No   Yes Yes Yes   Yes Yes Yes Yes Not Yet
High 204.09 201.99 205.67 211.80 203.28 195.92 176.37 172.85 170.53 162.32 143.66 120.36
Low 183.55 179.00 183.38 192.40 191.01 166.42 145.24 156.19 148.96 139.34 112.68 86.05
Close/Last 204.09 185.34 205.67 201.88 197.09 167.28 176.16 159.18 157.24 139.59 114.89 107.87

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