MRCI's ScenarioSM Study

ScenarioSM Study for January 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		27	29	33	35	38	39	39	39	39	39	39
Closed Higher		13	17	23	23	17	19	24	22	23	15	17
Exceeded High		11	15	22	19	13	17	20	20	19	12	11
Scenario Percentage		85%	88%	96%	83%	76%	89%	83%	91%	83%	80%	65%
Avg Max Increase		11.68%	9.66%	10.41%	10.01%	9.46%	10.21%	12.61%	9.82%	8.26%	11.36%	17.77%
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	19	16	16	18	18	16	16	19	25
Avg Max Decline		-1.05%	-2.02%	-2.56%	-2.11%	-1.46%	-2.83%	-2.00%	-2.66%	-3.25%	-1.94%	-1.98%
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	7	8	6	12	8	9	10	4	5
2017 Contract Condition			Yes	Yes	Yes	Yes	Yes		Yes	Yes		Yes
Action			Yes	Yes	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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		27	29	33	35	38	39	39	39	39	39	39
Closed Lower		14	12	10	12	21	20	15	17	16	24	22
Penetrated Low		8	7	7	8	14	15	9	10	14	21	21
Scenario Percentage		57%	58%	70%	67%	67%	75%	60%	59%	88%	88%	95%
Avg Max Decline		8.43%	5.72%	6.55%	8.31%	8.48%	8.79%	9.14%	13.52%	11.43%	14.74%	10.78%
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		15	11	9	18	19	17	17	16	16	16	18
Avg Max Increase		-1.34%	-1.62%	-2.85%	-3.24%	-1.06%	-1.91%	-3.14%	-1.31%	-3.54%	-2.69%	-1.96%
Max Increase		-5.97%	-3.71%	-5.61%	-6.82%	-6.39%	-7.53%	-19.07%	-5.36%	-16.69%	-8.52%	-10.08%
Avg Days to Max Increase		4	11	7	16	3	8	10	15	8	6	4
2017 Contract Condition		Yes						Yes			Yes
Action		No						Yes			Yes
High	160.00	139.74	130.14	140.48	151.33	159.49	163.43	160.00	159.31	156.30	165.73	159.42
Low	135.84	106.74	117.04	127.83	123.56	140.04	150.24	137.00	133.38	141.95	152.00	138.89
Close/Last	137.02	128.07	128.79	134.05	148.98	156.84	157.38	139.26	147.95	156.15	152.16	157.63