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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December NY Harbor ULSD(NYM) as of Aug 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   31 33 34 36 38 38 38 38 38 38 38
Closed Higher   14 16 17 25 23 18 19 23 21 22 14
Exceeded High   13 13 16 24 17 14 17 19 19 19 9
Scenario Percentage   93% 81% 94% 96% 74% 78% 89% 83% 90% 86% 64%
Avg Max Increase   8.18% 10.52% 10.34% 10.37% 8.28% 9.02% 10.64% 13.48% 10.26% 7.97% 7.11%
Max Increase   21.40% 28.35% 23.37% 42.04% 28.68% 24.91% 24.98% 74.87% 38.50% 21.61% 18.25%
Avg Days To Max Increase   15 14 14 17 17 15 18 17 13 13 17
Avg Max Decline   -1.54% -1.52% -1.82% -2.04% -2.28% -1.54% -3.11% -2.10% -2.95% -2.94% -1.59%
Max Decline   -6.64% -5.08% -12.74% -8.02% -11.13% -5.77% -15.93% -8.30% -14.50% -13.85% -2.99%
Avg Days to Max Decline   9 6 8 5 8 4 12 8 8 5 3
2017 Contract Condition   Yes   Yes         Yes Yes    
Action   Yes   No         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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   31 33 34 36 38 38 38 38 38 38 38
Closed Lower   17 17 17 11 15 20 19 15 17 16 24
Penetrated Low   13 10 10 7 8 14 15 9 12 14 18
Scenario Percentage   76% 59% 59% 64% 53% 70% 79% 60% 71% 88% 75%
Avg Max Decline   11.03% 10.44% 5.79% 6.37% 7.37% 8.02% 9.16% 9.52% 12.01% 11.46% 9.77%
Max Decline   22.55% 34.29% 19.09% 14.29% 20.65% 18.72% 27.10% 24.22% 41.23% 43.86% 21.31%
Avg Days To Max Decline   18 15 9 10 17 18 18 17 16 14 18
Avg Max Increase   -4.04% -1.46% -1.76% -2.18% -3.56% -1.04% -2.03% -3.45% -1.99% -4.00% -2.37%
Max Increase   -9.89% -6.11% -10.40% -5.43% -6.95% -6.42% -7.66% -19.25% -5.86% -20.44% -6.10%
Avg Days to Max Increase   9 4 9 2 17 4 9 15 12 8 4
2017 Contract Condition     Yes   Yes Yes Yes Yes        
Action     Yes   Yes Yes Yes No        
High 168.51 180.60 182.98 175.67 173.00 172.86 167.12 158.70 167.70 170.38    
Low 151.62 166.80 169.90 167.64 155.52 155.79 143.82 140.70 146.04 156.57    
Close/Last 166.88 179.70 171.08 171.41 163.54 157.18 156.88 151.74 167.24 170.16    

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