MRCI's ScenarioSM Study

ScenarioSM Study for January NY Harbor ULSD(NYM) as of Aug 18, 2023
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		32	34	38	40	43	44	44	44	44	44	44
Closed Higher		17	20	25	27	21	24	27	24	26	17	19
Exceeded High		14	18	24	22	16	21	23	21	21	13	13
Scenario Percentage		82%	90%	96%	81%	76%	88%	85%	88%	81%	76%	68%
Avg Max Increase		13.20%	10.13%	11.15%	10.76%	10.04%	9.07%	11.77%	9.79%	8.22%	10.96%	16.63%
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	18	19	16	15	17	17	15	15	18	25
Avg Max Decline		-0.89%	-2.04%	-2.48%	-2.05%	-1.20%	-2.93%	-2.84%	-2.65%	-2.98%	-1.97%	-1.93%
Max Decline		-4.68%	-12.55%	-8.71%	-10.66%	-5.26%	-15.39%	-13.43%	-13.56%	-13.28%	-3.38%	-7.37%
Avg Days to Max Decline		4	12	7	8	6	12	8	9	9	4	5
2023 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes		Yes		Yes
Action		Yes	Yes	Yes	Yes	Yes	No		No		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		32	34	38	40	43	44	44	44	44	44	44
Closed Lower		15	14	13	13	22	20	17	20	18	27	25
Penetrated Low		9	8	9	8	15	15	10	11	15	23	24
Scenario Percentage		60%	57%	69%	62%	68%	75%	59%	55%	83%	85%	96%
Avg Max Decline		11.20%	9.45%	7.83%	8.31%	8.24%	8.79%	9.50%	13.86%	11.49%	14.86%	10.70%
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	18	17	15	15	17
Avg Max Increase		-1.61%	-2.08%	-4.43%	-3.24%	-1.05%	-1.91%	-4.16%	-1.38%	-3.56%	-2.60%	-2.26%
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	12	14	8	6	4
2023 Contract Condition								Yes		Yes		Yes
Action								Yes		No		Yes
High	228.76	249.31	276.08	314.00	322.82	356.89	398.94	362.28	380.63	354.16	370.15	371.73
Low	198.04	222.89	246.61	261.90	286.85	308.03	343.41	310.57	304.97	293.01	312.49	310.81
Close/Last	223.55	247.44	261.40	286.13	316.01	345.28	348.27	335.79	348.35	307.35	350.05	336.35