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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, 2019
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   30 33 35 35 37 38 39 39 39 39 39
Closed Higher   22 19 18 15 19 16 16 19 27 28 20
Exceeded High   19 16 14 12 15 14 12 17 26 23 11
Scenario Percentage   86% 84% 78% 80% 79% 88% 75% 89% 96% 82% 55%
Avg Max Increase   8.72% 7.25% 8.33% 9.15% 9.65% 9.09% 10.51% 10.87% 11.66% 9.40% 8.45%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 21.36% 27.58% 25.97% 41.58% 27.24% 16.25%
Avg Days To Max Increase   15 16 17 22 16 17 12 14 16 15 16
Avg Max Decline   -0.92% -1.05% -1.80% -2.17% -1.57% -1.91% -1.71% -2.07% -2.49% -3.05% -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   9 9 5 10 6 11 5 7 7 9 6
2018 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes Yes Yes
Action   Yes Yes Yes Yes Yes Yes No   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   30 33 35 35 37 38 39 39 39 39 39
Closed Lower   8 14 17 20 18 21 23 20 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% 65% 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% 5.95%
Max Decline   22.93% 37.63% 40.47% 38.60% 35.38% 38.04% 35.18% 20.99% 15.36% 21.22% 11.07%
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
2018 Contract Condition                 Yes      
Action                 No      
High 156.50 164.20 165.25 175.98 183.86 190.97 197.89 206.56 205.29 204.80 216.52 229.91
Low 144.35 148.28 156.15 161.90 167.16 180.33 182.23 195.76 181.02 185.06 194.37 208.77
Close/Last 153.87 164.09 164.98 172.00 183.34 185.68 197.06 202.39 190.23 201.80 214.33 220.46

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