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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July NY Harbor ULSD(NYM) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   27 30 32 32 34 35 36 36 36 36 36
Closed Higher   21 16 16 14 17 14 15 18 25 26 17
Exceeded High   18 14 12 11 13 12 12 17 24 21 10
Scenario Percentage   86% 88% 75% 79% 76% 86% 80% 94% 96% 81% 59%
Avg Max Increase   8.80% 6.66% 8.31% 9.26% 9.46% 10.05% 10.51% 10.87% 10.99% 9.47% 9.05%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 21.36% 27.58% 25.97% 41.58% 29.68% 17.24%
Avg Days To Max Increase   15 14 16 21 16 17 12 14 15 15 17
Avg Max Decline   -0.70% -0.84% -1.83% -2.22% -1.84% -1.98% -1.71% -2.07% -2.16% -2.86% -1.57%
Max Decline   -7.21% -6.28% -8.40% -4.74% -8.27% -7.42% -6.29% -13.94% -6.96% -16.05% -7.53%
Avg Days to Max Decline   8 9 5 11 7 13 5 7 8 9 7
2015 Contract Condition                 Yes   Yes  
Action                 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   27 30 32 32 34 35 36 36 36 36 36
Closed Lower   6 14 16 18 17 20 21 18 11 10 19
Penetrated Low   5 9 13 16 14 16 13 13 9 7 15
Scenario Percentage   83% 64% 81% 89% 82% 80% 62% 72% 82% 70% 79%
Avg Max Decline   9.37% 12.21% 10.44% 13.29% 14.67% 13.50% 12.08% 6.68% 8.12% 8.40% 6.07%
Max Decline   22.93% 37.63% 40.47% 38.60% 29.86% 38.04% 35.18% 20.99% 15.36% 21.22% 12.36%
Avg Days To Max Decline   21 19 14 18 19 18 15 13 14 15 14
Avg Max Increase   -2.91% -2.08% -1.29% -2.00% -1.53% -3.39% -2.30% -2.40% -2.58% -3.62% -1.66%
Max Increase   -8.51% -11.01% -5.67% -5.82% -7.39% -11.13% -6.56% -11.47% -5.99% -8.06% -8.98%
Avg Days to Max Increase   18 16 7 6 10 8 7 11 6 15 4
2015 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes   Yes
Action   Yes Yes Yes Yes Yes Yes No   No   Yes
High 298.29 294.10 288.53 284.36 270.41 251.09 220.97 184.32 194.18 193.32 198.83 206.22
Low 282.41 285.65 281.30 266.87 241.84 213.63 179.30 159.07 168.27 166.78 169.09 184.55
Close/Last 293.36 287.17 283.19 267.42 250.09 214.18 183.23 171.29 193.79 173.12 198.61 194.97

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