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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 Feb 28, 2017
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   28 30 31 32 32 36 37 37 37 37 37
Closed Higher   14 21 17 14 13 17 17 15 18 26 29
Exceeded High   13 19 14 10 10 12 14 11 17 25 18
Scenario Percentage   93% 90% 82% 71% 77% 71% 82% 73% 94% 96% 62%
Avg Max Increase   9.16% 8.90% 7.32% 7.69% 9.45% 10.95% 9.77% 11.70% 11.43% 12.14% 8.56%
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 15 16 16
Avg Max Decline   -1.52% -0.91% -0.99% -1.47% -2.59% -2.43% -2.25% -2.08% -2.48% -2.67% -2.03%
Max Decline   -13.80% -7.74% -5.65% -6.97% -5.28% -8.45% -7.83% -6.67% -14.35% -9.71% -7.64%
Avg Days to Max Decline   9 8 8 5 11 7 12 6 7 5 4
2017 Contract Condition   Yes   Yes Yes   Yes Yes   Yes    
Action   No   Yes Yes   Yes Yes   Not Yet    
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   28 30 31 32 32 36 37 37 37 37 37
Closed Lower   14 9 14 18 19 19 20 22 19 11 8
Penetrated Low   11 7 9 15 17 16 15 14 14 9 4
Scenario Percentage   79% 78% 64% 83% 89% 84% 75% 64% 74% 82% 50%
Avg Max Decline   6.77% 9.03% 12.55% 10.81% 13.80% 14.28% 15.28% 12.59% 7.22% 8.21% 4.76%
Max Decline   25.78% 23.19% 38.38% 41.24% 39.69% 36.31% 38.28% 35.51% 22.32% 14.21% 6.87%
Avg Days To Max Decline   15 20 19 17 20 20 19 15 12 11 13
Avg Max Increase   -2.77% -2.54% -2.32% -1.82% -2.19% -2.06% -3.91% -2.37% -2.22% -2.86% -1.53%
Max Increase   -7.73% -8.83% -12.29% -7.00% -6.14% -8.57% -11.53% -7.28% -10.34% -6.00% -5.13%
Avg Days to Max Increase   10 12 15 8 5 9 9 6 11 8 3
2017 Contract Condition     Yes     Yes     Yes      
Action     Yes     Yes     Yes      
High 159.01 163.68 162.60 160.97 157.87 167.06 162.77 175.63 178.33 170.96    
Low 142.58 150.91 140.08 137.07 144.81 155.33 143.65 160.90 164.00 161.70    
Close/Last 157.02 158.92 142.35 149.96 157.80 155.47 161.09 174.92 165.45 165.80    

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