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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, 2018
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   29 31 32 33 33 37 38 38 38 38 38
Closed Higher   15 21 18 15 13 18 18 15 19 26 29
Exceeded High   13 19 15 11 10 13 15 11 17 25 18
Scenario Percentage   87% 90% 83% 73% 77% 72% 83% 73% 89% 96% 62%
Avg Max Increase   9.16% 8.90% 7.59% 7.53% 9.45% 10.93% 9.25% 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 16 23 17 18 13 15 16 16
Avg Max Decline   -1.52% -0.91% -1.16% -1.38% -2.59% -2.25% -2.26% -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 9 4 11 6 11 6 7 5 4
2017 Contract Condition   Yes   Yes Yes   Yes Yes   Yes    
Action   No   Yes Yes   Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   29 31 32 33 33 37 38 38 38 38 38
Closed Lower   14 10 14 18 20 19 20 23 19 12 9
Penetrated Low   11 8 9 15 18 16 15 15 14 10 5
Scenario Percentage   79% 80% 64% 83% 90% 84% 75% 65% 74% 83% 56%
Avg Max Decline   6.77% 8.36% 12.55% 10.81% 13.46% 14.28% 15.28% 12.41% 7.22% 8.69% 5.57%
Max Decline   25.78% 23.19% 38.38% 41.24% 39.69% 36.31% 38.28% 35.51% 22.32% 14.21% 8.78%
Avg Days To Max Decline   15 17 19 17 19 20 19 15 12 11 11
Avg Max Increase   -2.77% -2.26% -2.32% -1.82% -2.20% -2.06% -3.91% -2.44% -2.22% -3.16% -1.27%
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 10 15 8 5 9 9 6 11 8 2
2017 Contract Condition     Yes     Yes     Yes   Yes Yes
Action     Yes     Yes     Yes   Yes Yes
High 159.01 163.68 162.60 160.97 157.87 167.06 162.77 175.63 178.33 170.96 167.70 167.35
Low 142.58 150.91 140.08 137.07 144.81 155.33 143.65 160.90 164.00 161.70 149.10 149.54
Close/Last 157.02 158.92 142.35 149.96 157.80 155.47 161.09 174.92 165.45 165.80 158.09 150.72

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