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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, 2018
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   29 32 34 34 36 37 38 38 38 38 38
Closed Higher   21 18 17 14 18 15 15 19 26 27 19
Exceeded High   18 15 13 11 14 13 12 17 25 22 11
Scenario Percentage   86% 83% 76% 79% 78% 87% 80% 89% 96% 81% 58%
Avg Max Increase   8.80% 6.97% 8.12% 9.26% 9.53% 9.42% 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 15 16 21 15 16 12 14 16 15 17
Avg Max Decline   -0.70% -0.99% -1.72% -2.22% -1.55% -2.00% -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 10 5 11 6 12 5 7 7 9 6
2017 Contract Condition     Yes Yes   Yes Yes   Yes     Yes
Action     Yes Yes   Yes Yes   No     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   29 32 34 34 36 37 38 38 38 38 38
Closed Lower   8 14 17 20 18 21 23 19 12 11 19
Penetrated Low   7 9 14 18 15 17 14 13 10 8 15
Scenario Percentage   88% 64% 82% 90% 83% 81% 61% 68% 83% 73% 79%
Avg Max Decline   9.06% 12.21% 10.40% 13.55% 16.05% 14.13% 11.92% 6.68% 8.60% 8.68% 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   19 19 15 18 19 19 15 13 13 16 14
Avg Max Increase   -1.62% -2.08% -1.67% -2.04% -1.61% -3.38% -2.36% -2.40% -2.90% -4.12% -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   14 16 7 6 9 8 6 11 6 17 4
2017 Contract Condition   Yes     Yes     Yes   Yes Yes  
Action   Yes     Yes     Yes   Yes Yes  
High 165.21 162.50 161.10 158.67 167.92 163.29 176.33 179.01 171.72 168.60 168.15 163.13
Low 151.81 142.44 138.54 146.00 156.27 144.98 165.62 165.48 162.76 150.04 150.36 138.34
Close/Last 159.62 143.33 150.76 158.67 156.39 162.08 175.78 166.57 166.77 158.86 151.53 151.79

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