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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 Mar 30, 2020
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   31 34 36 38 41 41 41 41 41 41 41
Closed Higher   18 24 23 17 21 25 23 25 17 19 21
Exceeded High   16 23 18 14 19 22 21 19 13 15 19
Scenario Percentage   89% 96% 78% 82% 90% 88% 91% 76% 76% 79% 90%
Avg Max Increase   9.30% 10.37% 7.54% 9.02% 9.35% 11.10% 9.53% 8.30% 12.06% 17.31% 9.47%
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 16 15 20 17 15
Avg Max Decline   -2.01% -2.16% -2.24% -1.28% -3.41% -2.06% -2.50% -2.38% -2.42% -2.60% -2.01%
Max Decline   -12.40% -8.55% -8.89% -5.26% -16.83% -10.93% -12.52% -12.46% -8.80% -7.99% -6.52%
Avg Days to Max Decline   12 8 8 8 12 8 7 7 8 7 6
2020 Contract Condition   Yes   Yes   Yes Yes   Yes   Yes Yes
Action   Yes   No   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   31 34 36 38 41 41 41 41 41 41 41
Closed Lower   13 10 13 21 20 16 18 16 24 22 20
Penetrated Low   7 7 8 14 15 9 11 13 20 22 13
Scenario Percentage   54% 70% 62% 67% 75% 56% 61% 81% 83% 100% 65%
Avg Max Decline   5.38% 6.26% 8.10% 8.79% 7.69% 8.78% 11.94% 11.44% 15.73% 13.74% 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 13 18 17 16 14 17 16 17 20 19
Avg Max Increase   -1.84% -3.29% -2.99% -1.53% -1.99% -2.96% -2.43% -2.98% -2.29% -4.23% -1.82%
Max Increase   -4.04% -6.70% -6.60% -7.53% -7.54% -18.08% -15.56% -16.37% -7.70% -15.03% -17.42%
Avg Days to Max Increase   10 10 15 4 8 11 16 8 7 13 8
2020 Contract Condition     Yes   Yes     Yes   Yes    
Action     Yes   Yes     No   No    
High 197.88 208.62 207.13 216.56 214.35 199.55 202.55 195.80 206.26 195.65 196.68 207.82
Low 172.87 193.73 199.75 203.84 185.90 178.04 187.02 175.62 177.69 179.11 184.04 186.68
Close/Last 192.89 206.83 202.97 211.82 187.04 195.83 197.18 183.25 186.31 185.68 187.61 202.28

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