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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March NY Harbor ULSD(NYM) as of Jan 01, 2018
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   27 30 31 37 38 38 38 38 38 38 38
Closed Higher   20 21 14 19 23 21 21 19 18 20 13
Exceeded High   20 17 12 17 19 18 17 15 14 18 9
Scenario Percentage   100% 81% 86% 89% 83% 86% 81% 79% 78% 90% 69%
Avg Max Increase   10.49% 7.42% 9.11% 9.88% 10.85% 9.31% 8.41% 10.36% 13.87% 11.32% 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 19 18 17 16 14 19 16 16 16
Avg Max Decline   -2.22% -1.98% -1.40% -3.13% -1.17% -2.14% -2.15% -2.67% -2.30% -3.46% -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 7 7 12 9 9 6 12 5 9 4
2017 Contract Condition   Yes Yes Yes Yes   Yes Yes   Yes Yes  
Action   Yes Yes Yes No   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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   27 30 31 37 38 38 38 38 38 38 38
Closed Lower   7 9 17 18 14 17 17 19 20 18 25
Penetrated Low   4 5 11 14 9 11 13 17 20 14 13
Scenario Percentage   57% 56% 65% 78% 64% 65% 76% 89% 100% 78% 52%
Avg Max Decline   5.07% 7.66% 9.32% 6.85% 8.56% 11.62% 11.19% 15.58% 13.90% 16.31% 9.13%
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 17 17 15 19 20 16 15
Avg Max Increase   -1.52% -2.77% -1.42% -2.25% -2.46% -2.41% -2.24% -2.59% -3.88% -3.62% -2.70%
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 10 15 8 9 14 10 4
2017 Contract Condition           Yes     Yes     Yes
Action           Yes     Yes     Yes
High 132.10 141.92 151.87 159.31 164.44 161.66 160.48 157.73 167.42 161.38 174.59 177.45
Low 119.85 130.35 125.80 141.47 151.76 139.00 135.56 144.03 154.14 141.45 159.18 161.49
Close/Last 130.93 135.89 149.54 157.16 159.00 141.13 149.67 157.58 154.49 159.64 173.80 163.08

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