MRCI's ScenarioSM Study

ScenarioSM Study for March 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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		26	29	30	36	37	37	37	37	37	37	37
Closed Higher		19	20	13	18	23	20	20	19	17	19	13
Exceeded High		19	16	11	17	19	17	16	15	13	17	9
Scenario Percentage		100%	80%	85%	94%	83%	85%	80%	79%	76%	89%	69%
Avg Max Increase		10.14%	7.26%	9.51%	9.88%	10.85%	9.16%	8.55%	10.36%	14.08%	11.86%	10.86%
Max Increase		42.43%	29.78%	25.61%	24.85%	62.05%	33.12%	23.00%	25.47%	34.25%	41.13%	26.53%
Avg Days To Max Increase		17	16	20	18	17	16	14	19	17	17	16
Avg Max Decline		-1.95%	-1.77%	-1.45%	-3.13%	-1.17%	-2.05%	-2.25%	-2.67%	-2.45%	-3.49%	-1.84%
Max Decline		-8.64%	-7.69%	-5.71%	-17.69%	-8.00%	-10.58%	-10.07%	-8.35%	-8.24%	-13.01%	-9.43%
Avg Days to Max Decline		11	6	8	12	9	8	7	12	6	9	4
2016 Contract Condition			Yes				Yes
Action			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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		26	29	30	36	37	37	37	37	37	37	37
Closed Lower		7	9	17	18	13	17	17	18	20	18	24
Penetrated Low		4	5	11	14	8	11	13	16	20	14	12
Scenario Percentage		57%	56%	65%	78%	62%	65%	76%	89%	100%	78%	50%
Avg Max Decline		5.07%	7.66%	9.32%	6.85%	9.14%	11.62%	11.19%	16.02%	13.90%	16.31%	9.74%
Max Decline		13.20%	20.05%	17.56%	26.31%	23.72%	39.41%	42.24%	42.17%	38.36%	37.84%	20.51%
Avg Days To Max Decline		14	19	18	18	19	17	15	19	20	16	15
Avg Max Increase		-1.52%	-2.77%	-1.42%	-2.25%	-2.72%	-2.41%	-2.24%	-2.57%	-3.88%	-3.62%	-2.60%
Max Increase		-2.34%	-5.79%	-8.44%	-7.59%	-12.77%	-14.75%	-7.13%	-7.75%	-12.74%	-14.44%	-11.57%
Avg Days to Max Increase		8	10	4	12	11	15	8	10	14	10	4
2016 Contract Condition		Yes		Yes	Yes	Yes		Yes	Yes	Yes	Yes	Yes
Action		No		Yes	Yes	Yes		Yes	Yes	Yes	Yes	Not Yet
High	204.09	201.99	205.67	211.80	203.28	195.92	176.37	172.85	170.53	162.32	143.66	120.36
Low	183.55	179.00	183.38	192.40	191.01	166.42	145.24	156.19	148.96	139.34	112.68	86.05
Close/Last	204.09	185.34	205.67	201.88	197.09	167.28	176.16	159.18	157.24	139.59	114.89	107.87