MRCI's ScenarioSM Study

ScenarioSM Study for February NY Harbor ULSD(NYM) as of Dec 30, 2016
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		27	30	32	34	37	37	37	37	37	37	37
Closed Higher		16	22	20	15	18	23	20	21	16	16	18
Exceeded High		15	21	16	13	17	20	18	16	12	12	16
Scenario Percentage		94%	95%	80%	87%	94%	87%	90%	76%	75%	75%	89%
Avg Max Increase		9.61%	9.84%	7.39%	9.36%	10.17%	11.49%	9.27%	8.60%	12.15%	18.09%	10.31%
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		16	18	16	16	18	16	17	15	19	16	15
Avg Max Decline		-1.91%	-1.85%	-2.03%	-1.25%	-3.19%	-1.42%	-2.46%	-2.51%	-2.45%	-3.00%	-1.84%
Max Decline		-12.40%	-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		11	8	8	8	12	8	7	8	8	8	6
2016 Contract Condition		Yes		Yes				Yes
Action		Yes		Yes				No

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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		27	30	32	34	37	37	37	37	37	37	37
Closed Lower		11	8	12	19	19	14	17	16	21	21	19
Penetrated Low		7	5	7	12	15	8	11	13	18	21	13
Scenario Percentage		64%	63%	58%	63%	79%	57%	65%	81%	86%	100%	68%
Avg Max Decline		5.38%	4.81%	7.80%	9.03%	7.69%	9.37%	11.94%	11.44%	15.50%	13.81%	13.70%
Max Decline		17.08%	13.65%	20.13%	17.77%	26.48%	24.16%	39.86%	43.17%	43.10%	38.40%	29.04%
Avg Days To Max Decline		11	11	18	17	16	15	17	16	17	18	18
Avg Max Increase		-1.84%	-2.17%	-2.68%	-1.67%	-1.99%	-3.29%	-2.43%	-2.98%	-2.36%	-3.90%	-1.76%
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	7	14	4	8	12	16	8	7	13	6
2016 Contract Condition			Yes		Yes	Yes	Yes		Yes	Yes	Yes	Yes
Action			No		Yes	Yes	Yes		Yes	Yes	Yes	Yes
High	192.25	204.76	202.76	206.33	212.80	203.64	195.74	176.49	172.85	170.29	161.70	141.78
Low	172.71	183.50	179.12	183.40	193.52	191.40	166.53	145.28	155.84	148.05	137.49	110.05
Close/Last	184.06	204.47	185.32	206.30	202.52	197.60	167.30	176.26	158.94	156.31	137.77	112.39