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