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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, 2016
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   25 27 31 33 36 37 37 37 37 37 37
Closed Higher   13 16 22 22 16 18 23 20 21 14 15
Exceeded High   11 15 21 18 12 17 19 18 17 11 9
Scenario Percentage   85% 94% 95% 82% 75% 94% 83% 90% 81% 79% 60%
Avg Max Increase   11.68% 9.66% 10.00% 10.03% 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 16 18 16 16 18 17 15 16 18 25
Avg Max Decline   -1.05% -2.02% -2.31% -1.89% -1.43% -2.83% -1.78% -2.63% -3.31% -1.92% -2.13%
Max Decline   -4.68% -12.55% -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
2015 Contract Condition     Yes   Yes   Yes          
Action     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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   25 27 31 33 36 37 37 37 37 37 37
Closed Lower   12 11 9 11 20 19 14 17 16 23 22
Penetrated Low   7 7 6 7 13 15 8 10 14 20 21
Scenario Percentage   58% 64% 67% 64% 65% 79% 57% 59% 88% 87% 95%
Avg Max Decline   8.39% 5.72% 5.75% 8.02% 8.36% 8.79% 9.75% 13.52% 11.43% 15.09% 10.96%
Max Decline   17.36% 18.65% 13.94% 20.29% 18.27% 26.81% 24.06% 40.46% 44.00% 43.61% 31.02%
Avg Days To Max Decline   13 11 10 18 19 17 19 16 16 16 18
Avg Max Increase   -1.19% -1.62% -2.39% -2.89% -1.06% -1.91% -3.49% -1.31% -3.54% -2.63% -1.96%
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 8 11 15 8 7 4
2015 Contract Condition   Yes   Yes   Yes   Yes Yes Yes Yes Yes
Action   No   Yes   No   Yes Yes Yes Yes Yes
High 299.51 292.33 297.77 297.74 298.18 296.20 309.02 301.96 294.07 288.56 270.51 253.35
Low 290.85 283.84 285.00 286.80 284.26 287.70 288.00 289.88 283.22 265.24 241.58 215.20
Close/Last 297.80 286.49 293.47 291.05 291.21 291.00 301.26 292.53 287.75 266.36 250.74 216.12

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