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