MRCI's ScenarioSM Study

ScenarioSM Study for February NY Harbor ULSD(NYM) as of Jun 08, 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