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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, 2019
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   28 30 34 36 39 40 40 40 40 40 40
Closed Higher   14 17 24 24 18 20 24 23 24 15 17
Exceeded High   11 15 23 20 13 18 20 21 20 12 11
Scenario Percentage   79% 88% 96% 83% 72% 90% 83% 91% 83% 80% 65%
Avg Max Increase   11.68% 9.66% 10.56% 9.89% 9.46% 9.73% 12.61% 9.79% 8.06% 11.24% 16.42%
Max Increase   28.58% 23.82% 41.75% 52.14% 25.37% 24.90% 71.34% 38.14% 21.49% 26.77% 65.02%
Avg Days To Max Increase   14 16 19 16 16 18 18 15 15 19 25
Avg Max Decline   -1.05% -2.02% -2.60% -2.11% -1.46% -3.07% -2.00% -2.65% -3.09% -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 9 4 5
2018 Contract Condition     Yes         Yes Yes Yes Yes Yes
Action     No         Yes Yes 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   28 30 34 36 39 40 40 40 40 40 40
Closed Lower   14 13 10 12 21 20 16 17 16 25 23
Penetrated Low   8 7 7 8 14 15 9 10 14 22 22
Scenario Percentage   57% 54% 70% 67% 67% 75% 56% 59% 88% 88% 96%
Avg Max Decline   8.43% 5.72% 6.55% 8.31% 8.48% 8.79% 9.14% 13.52% 11.43% 15.08% 10.51%
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 16
Avg Max Increase   -1.34% -1.62% -2.85% -3.24% -1.06% -1.91% -3.14% -1.31% -3.54% -2.57% -2.04%
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
2018 Contract Condition   Yes   Yes Yes Yes Yes          
Action   Yes   Yes Yes Yes No          
High 181.93 182.96 175.87 173.25 173.55 167.28 159.68 167.86 169.34 184.72 188.85 196.52
Low 171.80 171.20 168.50 156.81 156.95 145.71 141.95 146.93 157.14 166.00 171.82 184.00
Close/Last 180.43 171.85 172.12 164.33 158.26 157.87 152.63 167.40 169.19 180.29 188.04 189.76

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