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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, 2019
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   29 32 34 36 39 39 39 39 39 39 39
Closed Higher   17 23 21 16 19 24 22 23 17 18 20
Exceeded High   15 22 17 14 17 21 20 18 13 14 18
Scenario Percentage   88% 96% 81% 88% 89% 88% 91% 78% 76% 78% 90%
Avg Max Increase   9.61% 10.21% 7.54% 9.02% 10.17% 11.41% 9.54% 8.52% 12.06% 17.62% 9.73%
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 17 17 15 20 18 15
Avg Max Decline   -1.91% -2.11% -2.25% -1.28% -3.19% -1.64% -2.51% -2.50% -2.42% -2.75% -1.90%
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
2018 Contract Condition   Yes         Yes Yes Yes Yes Yes Yes
Action   No         Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   29 32 34 36 39 39 39 39 39 39 39
Closed Lower   12 9 13 20 20 15 17 16 22 21 19
Penetrated Low   7 6 8 13 15 9 11 13 19 21 13
Scenario Percentage   58% 67% 62% 65% 75% 60% 65% 81% 86% 100% 68%
Avg Max Decline   5.38% 5.90% 8.10% 9.09% 7.69% 8.78% 11.94% 11.44% 15.14% 13.92% 13.81%
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 10 18 17 16 14 17 16 17 19 19
Avg Max Increase   -1.84% -2.72% -2.99% -1.58% -1.99% -2.96% -2.43% -2.98% -2.41% -4.11% -1.82%
Max Increase   -4.04% -5.50% -6.60% -7.53% -7.54% -18.08% -15.56% -16.37% -7.70% -15.03% -17.42%
Avg Days to Max Increase   10 8 15 4 8 11 16 8 7 14 8
2018 Contract Condition     Yes Yes Yes Yes            
Action     Yes Yes Yes No            
High 181.81 176.34 173.37 173.70 167.12 159.07 167.62 168.32 183.68 188.34 196.43 208.33
Low 171.20 169.05 157.28 157.45 145.99 142.79 147.58 157.35 164.75 171.67 183.83 186.15
Close/Last 172.08 172.31 164.65 158.91 158.41 153.19 167.22 168.24 179.34 187.57 189.90 206.81

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