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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October NY Harbor ULSD(NYM) as of Nov 09, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   31 34 36 38 38 39 39 41 41 41 41
Closed Higher   13 17 17 17 19 25 25 19 20 25 22
Exceeded High   8 14 16 12 17 24 19 15 19 21 17
Scenario Percentage   62% 82% 94% 71% 89% 96% 76% 79% 95% 84% 77%
Avg Max Increase   6.62% 8.83% 7.47% 11.79% 10.18% 11.04% 8.30% 9.62% 10.44% 14.38% 8.87%
Max Increase   10.87% 18.00% 18.64% 28.21% 23.24% 41.86% 27.24% 23.89% 26.34% 79.92% 40.09%
Avg Days To Max Increase   25 15 15 14 15 17 15 15 18 15 20
Avg Max Decline   -1.86% -1.08% -1.40% -1.27% -1.86% -2.66% -2.55% -2.10% -3.63% -2.41% -1.64%
Max Decline   -2.90% -7.43% -7.00% -4.92% -13.08% -9.29% -13.06% -6.25% -16.96% -11.42% -7.16%
Avg Days to Max Decline   6 7 8 5 8 5 8 7 13 6 4
2020 Contract Condition     Yes Yes         Yes Yes Yes  
Action     Yes Yes         Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   31 34 36 38 38 39 39 41 41 41 41
Closed Lower   18 17 19 21 19 14 14 21 21 16 19
Penetrated Low   15 13 13 14 12 11 8 15 16 11 10
Scenario Percentage   83% 76% 68% 67% 63% 79% 57% 71% 76% 69% 53%
Avg Max Decline   11.61% 13.60% 13.66% 13.15% 8.91% 8.66% 8.60% 8.50% 9.17% 9.87% 8.88%
Max Decline   36.46% 33.28% 34.01% 36.25% 40.53% 20.80% 20.97% 19.56% 27.66% 23.53% 19.20%
Avg Days To Max Decline   19 20 17 16 12 16 15 16 19 17 18
Avg Max Increase   -1.64% -1.61% -3.40% -1.15% -2.37% -4.25% -3.71% -1.45% -2.93% -3.72% -1.88%
Max Increase   -5.11% -5.77% -9.83% -6.11% -9.26% -14.09% -7.19% -7.37% -8.21% -21.03% -3.28%
Avg Days to Max Increase   4 6 8 4 9 9 13 4 12 10 7
2020 Contract Condition   Yes     Yes Yes Yes Yes       Yes
Action   No     Yes Yes Yes No       Yes
High 194.53 188.93 189.92 199.97 205.00 173.36 159.92 129.67 115.53 129.07 131.19 131.92
Low 177.18 174.96 181.40 182.44 166.38 148.91 106.60 90.02 94.32 109.75 119.03 121.03
Close/Last 180.37 180.19 182.61 195.49 167.22 151.36 113.66 99.52 112.39 122.21 123.91 121.73

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