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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January NY Harbor ULSD(NYM) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   24 26 30 32 35 36 36 36 36 36 36
Closed Higher   13 15 22 21 16 18 23 19 21 14 15
Exceeded High   11 14 21 17 12 17 19 18 17 11 9
Scenario Percentage   85% 93% 95% 81% 75% 94% 83% 95% 81% 79% 60%
Avg Max Increase   11.68% 10.28% 10.00% 10.44% 9.89% 10.21% 12.73% 9.60% 8.34% 11.40% 19.78%
Max Increase   28.58% 23.82% 41.75% 52.14% 25.37% 24.90% 71.34% 38.14% 21.49% 26.77% 77.96%
Avg Days To Max Increase   14 15 18 17 16 18 17 15 16 18 25
Avg Max Decline   -1.05% -1.27% -2.31% -1.95% -1.43% -2.83% -1.78% -2.63% -3.31% -1.92% -2.13%
Max Decline   -4.68% -4.39% -8.71% -10.66% -5.26% -15.39% -8.11% -13.56% -13.28% -3.38% -7.37%
Avg Days to Max Decline   5 11 8 8 6 12 7 9 10 4 6
2014 Contract Condition   Yes   Yes     Yes Yes Yes     Yes
Action   Yes   Yes     Yes Yes No     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   24 26 30 32 35 36 36 36 36 36 36
Closed Lower   11 11 8 11 19 18 13 17 15 22 21
Penetrated Low   7 7 6 7 12 14 7 10 13 19 20
Scenario Percentage   64% 64% 75% 64% 63% 78% 54% 59% 87% 86% 95%
Avg Max Decline   8.39% 5.72% 5.75% 8.02% 7.53% 7.50% 9.26% 13.52% 11.21% 14.29% 10.49%
Max Decline   17.36% 18.65% 13.94% 20.29% 13.51% 18.97% 24.06% 40.46% 44.00% 43.61% 31.02%
Avg Days To Max Decline   13 11 10 18 18 16 18 16 15 16 18
Avg Max Increase   -1.19% -1.62% -2.39% -2.89% -1.09% -2.10% -4.04% -1.31% -3.27% -2.57% -1.92%
Max Increase   -5.97% -3.71% -5.32% -6.82% -6.39% -7.53% -19.07% -5.36% -16.69% -8.52% -10.08%
Avg Days to Max Increase   3 11 7 15 3 9 13 15 8 7 4
2014 Contract Condition     Yes   Yes Yes       Yes Yes  
Action     Yes   No No       Yes Yes  
High 301.11 308.17 315.56 301.64 304.57 296.58 300.28 309.88 320.01 316.03 306.68 307.04
Low 290.01 295.74 296.54 293.00 278.08 279.06 282.10 286.75 294.06 292.30 289.62 283.51
Close/Last 298.11 308.13 296.66 300.77 286.49 283.47 287.44 304.87 312.03 296.40 295.69 303.08

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