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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June NY Harbor ULSD(NYM) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   26 28 29 30 30 34 35 35 35 35 35
Closed Higher   13 21 16 14 13 17 17 15 17 25 27
Exceeded High   13 19 14 10 10 12 14 11 16 24 16
Scenario Percentage   100% 90% 88% 71% 77% 71% 82% 73% 94% 96% 59%
Avg Max Increase   9.16% 8.90% 7.32% 7.69% 9.45% 10.95% 9.77% 11.70% 11.97% 11.54% 8.78%
Max Increase   22.79% 53.13% 27.06% 18.49% 21.26% 22.51% 24.36% 27.54% 26.61% 40.66% 27.15%
Avg Days To Max Increase   15 15 14 17 23 18 19 13 14 16 16
Avg Max Decline   -1.52% -0.91% -0.99% -1.47% -2.59% -2.43% -2.25% -2.08% -1.74% -2.38% -1.73%
Max Decline   -13.80% -7.74% -5.65% -6.97% -5.28% -8.45% -7.83% -6.67% -6.97% -7.62% -5.80%
Avg Days to Max Decline   9 8 8 5 11 7 12 6 7 5 4
2014 Contract Condition   Yes Yes Yes   Yes Yes Yes   Yes   Yes
Action   Yes Yes No   Yes Yes No   Yes   Not Yet
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   26 28 29 30 30 34 35 35 35 35 35
Closed Lower   13 7 13 16 17 17 18 20 18 10 8
Penetrated Low   10 5 8 13 15 14 13 14 14 9 4
Scenario Percentage   77% 71% 62% 81% 88% 82% 72% 70% 78% 90% 50%
Avg Max Decline   4.87% 8.40% 12.25% 10.11% 12.05% 11.84% 14.68% 12.59% 7.22% 7.96% 4.76%
Max Decline   13.21% 23.19% 38.38% 41.24% 39.69% 27.66% 38.28% 35.51% 22.32% 14.21% 6.87%
Avg Days To Max Decline   14 17 19 15 18 21 20 15 12 11 13
Avg Max Increase   -3.14% -3.57% -2.55% -1.47% -2.25% -1.91% -4.08% -2.37% -2.22% -2.86% -1.53%
Max Increase   -7.73% -8.83% -12.29% -5.89% -6.14% -8.57% -11.53% -7.28% -10.34% -6.00% -5.13%
Avg Days to Max Increase   11 13 17 8 6 10 10 6 11 8 3
2014 Contract Condition         Yes       Yes   Yes  
Action         Yes       No   Yes  
High 293.05 294.04 299.95 306.77 304.22 300.41 301.69 305.91 303.25 303.88 304.80 301.58
Low 276.25 279.10 284.42 287.25 287.36 286.70 283.42 293.10 286.06 287.66 286.98 284.34
Close/Last 280.69 282.64 297.45 301.02 290.36 292.45 298.70 302.46 290.16 297.61 292.42 292.81

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