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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August NY Harbor ULSD(NYM) as of Apr 30, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   28 31 31 32 33 34 35 37 37 37 37
Closed Higher   15 12 14 14 14 14 17 26 25 18 18
Exceeded High   11 10 9 11 12 11 16 25 19 13 15
Scenario Percentage   73% 83% 64% 79% 86% 79% 94% 96% 76% 72% 83%
Avg Max Increase   6.97% 7.01% 9.23% 8.76% 9.47% 10.82% 11.07% 11.21% 10.27% 10.59% 6.63%
Max Increase   25.68% 17.53% 19.33% 18.14% 19.50% 28.10% 23.37% 41.95% 30.49% 24.23% 13.78%
Avg Days To Max Increase   14 15 25 17 17 11 15 17 15 16 17
Avg Max Decline   -1.27% -2.04% -2.54% -1.47% -1.96% -1.55% -1.90% -2.61% -2.99% -2.73% -1.83%
Max Decline   -4.78% -8.34% -4.20% -7.91% -7.49% -6.01% -13.58% -9.65% -15.01% -7.23% -5.19%
Avg Days to Max Decline   10 5 13 7 10 4 9 8 8 8 4
2017 Contract Condition   Yes Yes   Yes Yes   Yes        
Action   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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   28 31 31 32 33 34 35 37 37 37 37
Closed Lower   13 19 17 18 19 20 18 11 12 19 19
Penetrated Low   9 16 15 14 14 12 11 9 8 14 13
Scenario Percentage   69% 84% 88% 78% 74% 60% 61% 82% 67% 74% 68%
Avg Max Decline   12.11% 9.76% 12.99% 15.39% 14.94% 12.15% 7.24% 7.71% 8.55% 8.69% 8.06%
Max Decline   37.28% 39.95% 37.73% 34.53% 36.41% 35.98% 20.69% 15.31% 21.32% 19.78% 19.71%
Avg Days To Max Decline   19 17 20 19 18 14 14 14 15 16 17
Avg Max Increase   -1.98% -1.52% -2.06% -1.14% -3.51% -1.47% -2.11% -2.34% -3.89% -2.09% -1.64%
Max Increase   -10.49% -6.12% -5.62% -6.30% -10.36% -6.18% -10.29% -5.92% -7.91% -8.30% -9.54%
Avg Days to Max Increase   12 8 7 7 7 4 13 11 16 9 3
2017 Contract Condition       Yes     Yes   Yes Yes Yes  
Action       Yes     Yes   Yes Yes    
High 162.97 162.02 159.71 168.76 164.20 177.16 179.83 172.16 169.53 168.99 152.65  
Low 142.55 139.80 147.54 157.42 146.30 166.73 166.47 163.81 151.16 151.28 149.51  
Close/Last 144.42 151.73 159.71 157.51 163.07 176.66 167.54 167.78 159.70 152.49 150.43  

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