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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February NY Harbor ULSD(NYM) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   25 28 30 32 35 35 35 35 35 35 35
Closed Higher   14 22 18 14 17 23 19 21 16 16 18
Exceeded High   13 21 14 12 17 20 18 16 12 12 16
Scenario Percentage   93% 95% 78% 86% 100% 87% 95% 76% 75% 75% 89%
Avg Max Increase   10.88% 9.84% 7.79% 9.65% 10.17% 11.49% 9.27% 8.60% 12.15% 18.56% 10.59%
Max Increase   23.87% 42.31% 29.01% 25.18% 25.14% 65.58% 34.76% 21.36% 34.13% 55.32% 44.01%
Avg Days To Max Increase   14 18 17 16 18 16 17 15 19 18 15
Avg Max Decline   -1.03% -1.85% -2.19% -1.27% -3.19% -1.42% -2.46% -2.51% -2.45% -3.00% -1.84%
Max Decline   -4.31% -8.55% -8.89% -5.26% -16.83% -8.09% -12.52% -12.46% -8.80% -7.99% -6.52%
Avg Days to Max Decline   9 8 9 9 12 8 7 8 8 8 6
2014 Contract Condition     Yes     Yes Yes Yes     Yes Yes
Action     Yes     Yes Yes No     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   25 28 30 32 35 35 35 35 35 35 35
Closed Lower   11 6 12 18 18 12 16 14 19 19 17
Penetrated Low   7 4 7 11 14 6 10 11 16 19 11
Scenario Percentage   64% 67% 58% 61% 78% 50% 63% 79% 84% 100% 65%
Avg Max Decline   5.38% 5.46% 7.80% 8.23% 6.35% 8.76% 11.54% 10.49% 13.81% 12.00% 12.88%
Max Decline   17.08% 13.65% 20.13% 16.22% 18.93% 24.16% 39.86% 43.17% 43.10% 30.75% 29.04%
Avg Days To Max Decline   11 14 18 16 15 11 17 13 15 20 19
Avg Max Increase   -1.84% -2.80% -2.68% -1.78% -2.20% -4.45% -2.64% -2.74% -2.40% -4.23% -1.46%
Max Increase   -4.04% -5.32% -6.60% -7.53% -7.54% -18.08% -15.56% -16.37% -7.70% -15.03% -17.42%
Avg Days to Max Increase   10 9 14 4 9 14 17 8 8 15 8
2014 Contract Condition   Yes   Yes Yes       Yes Yes    
Action   Yes   No No       Yes Yes    
High 307.23 314.30 300.63 303.92 296.43 300.24 307.86 317.84 314.61 306.08 306.66 311.10
Low 295.57 295.00 292.91 278.50 279.79 284.00 288.64 293.49 292.06 290.00 284.00 295.22
Close/Last 307.23 295.87 300.12 286.59 283.95 287.37 304.13 310.55 295.87 295.52 302.76 306.52

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