MRCI's ScenarioSM Study

ScenarioSM Study for November 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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		27	31	33	34	37	38	39	39	39	39	39
Closed Higher		14	15	15	19	26	24	18	18	23	22	23
Exceeded High		10	14	12	17	25	19	14	17	20	20	18
Scenario Percentage		71%	93%	80%	89%	96%	79%	78%	94%	87%	91%	78%
Avg Max Increase		8.63%	7.62%	11.11%	10.38%	12.18%	10.53%	8.89%	10.91%	13.92%	10.36%	5.27%
Max Increase		17.86%	18.20%	28.01%	23.28%	51.12%	53.09%	23.81%	24.96%	76.22%	39.38%	15.65%
Avg Days To Max Increase		16	14	12	15	18	15	14	17	19	14	15
Avg Max Decline		-1.12%	-1.35%	-1.17%	-1.96%	-2.36%	-2.18%	-1.52%	-3.26%	-2.74%	-3.02%	-2.32%
Max Decline		-7.40%	-6.74%	-4.81%	-12.84%	-8.88%	-11.99%	-5.77%	-16.48%	-8.55%	-15.12%	-13.24%
Avg Days to Max Decline		8	9	5	9	7	8	7	11	10	8	3
2017 Contract Condition		Yes	Yes		Yes					Yes	Yes	Yes
Action		Yes	Yes		No					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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		27	31	33	34	37	38	39	39	39	39	39
Closed Lower		13	16	18	15	11	14	21	21	16	17	16
Penetrated Low		10	12	11	9	9	9	15	16	10	11	11
Scenario Percentage		77%	75%	61%	60%	82%	64%	71%	76%	63%	65%	69%
Avg Max Decline		12.59%	13.28%	10.33%	5.16%	7.15%	7.55%	8.36%	9.81%	11.00%	12.92%	8.69%
Max Decline		32.82%	32.60%	34.45%	18.95%	14.57%	20.84%	19.14%	27.27%	23.89%	41.36%	34.78%
Avg Days To Max Decline		18	18	16	9	13	15	18	16	17	15	17
Avg Max Increase		-1.52%	-3.48%	-1.65%	-1.37%	-2.70%	-3.89%	-1.42%	-2.12%	-3.45%	-2.04%	-2.22%
Max Increase		-5.51%	-10.05%	-6.01%	-5.12%	-5.57%	-7.55%	-6.77%	-7.93%	-19.87%	-6.87%	-6.54%
Avg Days to Max Increase		6	7	5	9	9	15	5	9	11	12	6
2017 Contract Condition				Yes		Yes	Yes	Yes	Yes
Action				Yes		Yes	Yes	Yes	No
High	172.00	166.48	179.86	182.06	174.52	172.36	171.84	166.43	157.70	167.64	172.27	185.86
Low	160.92	150.26	170.20	169.65	167.17	154.98	154.90	143.00	139.42	145.12	156.11	168.29
Close/Last	160.92	166.04	179.10	170.29	170.69	162.77	156.19	155.88	150.78	167.16	172.04	181.00