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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 May 10, 2021
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   30 32 36 38 41 42 42 42 42 42 42
Closed Higher   15 18 24 25 19 22 26 23 25 15 19
Exceeded High   12 16 23 20 14 20 22 21 20 12 13
Scenario Percentage   80% 89% 96% 80% 74% 91% 85% 91% 80% 80% 68%
Avg Max Increase   11.39% 9.37% 10.56% 9.89% 9.79% 9.34% 11.97% 9.79% 8.06% 11.36% 16.78%
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 19 16 16 17 17 15 15 19 25
Avg Max Decline   -0.97% -2.11% -2.60% -2.11% -1.49% -3.01% -2.36% -2.65% -3.09% -1.94% -1.93%
Max Decline   -4.68% -12.55% -8.71% -10.66% -5.26% -15.39% -11.09% -13.56% -13.28% -3.38% -7.37%
Avg Days to Max Decline   5 11 7 8 6 12 7 9 9 4 5
2021 Contract Condition           Yes Yes Yes       Yes
Action           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   30 32 36 38 41 42 42 42 42 42 42
Closed Lower   15 14 12 13 22 20 16 19 17 27 23
Penetrated Low   9 8 9 8 15 15 9 11 15 23 22
Scenario Percentage   60% 57% 75% 62% 68% 75% 56% 58% 88% 85% 96%
Avg Max Decline   11.20% 9.45% 7.83% 8.31% 8.24% 8.79% 9.14% 13.86% 11.49% 14.89% 10.92%
Max Decline   33.33% 35.60% 16.38% 20.29% 18.27% 26.81% 24.06% 40.46% 44.00% 43.61% 31.02%
Avg Days To Max Decline   15 13 14 18 18 17 17 17 15 16 19
Avg Max Increase   -1.61% -2.08% -4.43% -3.24% -1.05% -1.91% -3.14% -1.38% -3.56% -2.60% -2.18%
Max Increase   -5.97% -5.30% -12.96% -6.82% -6.39% -7.53% -19.07% -5.36% -16.69% -8.52% -10.08%
Avg Days to Max Increase   5 10 8 16 3 8 10 14 8 6 4
2021 Contract Condition   Yes Yes Yes Yes       Yes Yes Yes  
Action   Yes Yes Yes No       Yes Yes Yes  
High 197.66 201.00 175.29 162.36 134.14 120.15 133.41 134.88 137.01 131.13 122.69 140.15
Low 183.51 168.00 152.11 112.60 99.30 101.37 115.86 124.73 127.44 112.16 106.16 103.49
Close/Last 194.61 168.89 154.19 118.75 106.48 118.20 126.60 129.22 128.43 118.09 109.46 137.14

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