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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   28 32 33 36 36 37 37 37 37 37 37
Closed Higher   13 17 23 20 18 17 18 16 15 18 25
Exceeded High   11 16 18 17 10 13 14 14 13 17 19
Scenario Percentage   85% 94% 78% 85% 56% 76% 78% 88% 87% 94% 76%
Avg Max Increase   9.49% 9.71% 9.84% 7.17% 9.79% 10.03% 10.33% 10.59% 12.35% 11.97% 10.30%
Max Increase   25.87% 23.36% 56.36% 29.50% 19.39% 21.64% 25.04% 30.08% 27.08% 29.40% 19.16%
Avg Days To Max Increase   18 18 17 16 16 20 16 18 13 12 17
Avg Max Decline   -0.90% -2.42% -1.06% -1.56% -1.68% -2.21% -1.96% -2.48% -2.10% -2.84% -1.83%
Max Decline   -4.80% -13.85% -7.35% -6.87% -7.85% -5.83% -8.29% -7.95% -7.14% -14.74% -10.01%
Avg Days to Max Decline   6 9 10 8 6 10 6 12 6 7 2
2016 Contract Condition         Yes           Yes Yes
Action         No           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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   28 32 33 36 36 37 37 37 37 37 37
Closed Lower   15 15 10 16 18 20 19 21 22 19 12
Penetrated Low   9 11 7 10 14 18 17 16 14 14 9
Scenario Percentage   60% 73% 70% 63% 78% 90% 89% 76% 64% 74% 75%
Avg Max Decline   7.11% 6.05% 9.27% 12.04% 10.35% 13.91% 13.94% 15.27% 13.33% 7.37% 5.81%
Max Decline   16.98% 25.67% 23.48% 38.52% 41.64% 40.53% 37.04% 39.03% 32.40% 20.93% 9.77%
Avg Days To Max Decline   17 14 20 15 15 18 19 20 15 12 10
Avg Max Increase   -0.79% -1.76% -2.32% -2.17% -2.02% -2.22% -2.54% -3.69% -2.96% -1.76% -2.51%
Max Increase   -2.79% -6.62% -9.00% -12.53% -7.04% -6.54% -9.43% -12.34% -10.85% -12.26% -7.79%
Avg Days to Max Increase   4 7 13 12 8 8 10 10 6 8 2
2016 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes Yes    
Action   Yes Yes Yes   Yes Yes Yes Yes No    
High 204.56 210.45 201.98 193.72 175.59 171.80 170.50 162.63 146.15 123.85 114.50 128.40
Low 182.65 192.29 191.00 166.50 145.46 156.33 150.26 141.93 117.04 89.50 98.95 110.31
Close/Last 204.56 200.56 195.70 167.36 175.59 159.29 158.24 142.15 119.01 111.30 111.34 118.55

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