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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 Mar 31, 2017
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   28 31 33 33 35 36 37 37 37 37 37
Closed Higher   21 17 16 14 17 14 15 18 26 27 18
Exceeded High   18 14 12 11 13 12 12 17 25 22 11
Scenario Percentage   86% 82% 75% 79% 76% 86% 80% 94% 96% 81% 61%
Avg Max Increase   8.80% 6.66% 8.31% 9.26% 9.46% 10.05% 10.51% 10.87% 11.57% 9.66% 8.76%
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 16 15 17
Avg Max Decline   -0.70% -0.84% -1.83% -2.22% -1.84% -1.98% -1.71% -2.07% -2.45% -3.07% -1.62%
Max Decline   -7.21% -6.28% -8.40% -4.74% -8.27% -7.42% -6.29% -13.94% -9.33% -16.05% -7.53%
Avg Days to Max Decline   8 9 5 11 7 13 5 7 7 9 6
2017 Contract Condition     Yes Yes   Yes Yes   Yes      
Action     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   28 31 33 33 35 36 37 37 37 37 37
Closed Lower   7 14 17 19 18 21 22 19 11 10 19
Penetrated Low   6 9 14 17 15 17 13 13 9 7 15
Scenario Percentage   86% 64% 82% 89% 83% 81% 59% 68% 82% 70% 79%
Avg Max Decline   10.01% 12.21% 10.40% 13.91% 16.05% 14.13% 12.08% 6.68% 8.12% 8.40% 6.07%
Max Decline   22.93% 37.63% 40.47% 38.60% 35.38% 38.04% 35.18% 20.99% 15.36% 21.22% 12.36%
Avg Days To Max Decline   22 19 15 19 19 19 15 13 14 15 14
Avg Max Increase   -2.16% -2.08% -1.67% -2.03% -1.61% -3.38% -2.30% -2.40% -2.58% -3.62% -1.66%
Max Increase   -8.51% -11.01% -6.51% -5.82% -7.39% -11.13% -6.56% -11.47% -5.99% -8.06% -8.98%
Avg Days to Max Increase   16 16 7 6 9 8 7 11 6 15 4
2017 Contract Condition   Yes     Yes     Yes   Yes    
Action   Yes     Yes     Yes   Not Yet    
High 165.21 162.50 161.10 158.67 167.92 163.29 176.33 179.01 171.72 168.60    
Low 151.81 142.44 138.54 146.00 156.27 144.98 165.62 165.48 162.76 150.04    
Close/Last 159.62 143.33 150.76 158.67 156.39 162.08 175.78 166.57 166.77 158.86    

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Newsflash

In 2005 Wheat was trading at a subdued $3.00/bushel. Three years later, the CBOT's soft red had more than quadrupled to $13.00 --- while hard red spring traded in Minneapolis soared to an astonishing $24.00! Now as winter wheat prepares to emerge and spring wheat will soon be planted, all three classes of wheat trade mostly between $4.50 and $5.00.

Look back to 1970: http://www.mrci.com/pdf/w.pdf

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