MRCI's ScenarioSM Study

ScenarioSM Study for March NY Harbor ULSD(NYM) as of Oct 20, 2019
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		29	32	33	39	40	40	40	40	40	40	40
Closed Higher		21	22	15	20	24	23	23	20	19	21	15
Exceeded High		21	18	12	18	20	20	19	16	15	19	10
Scenario Percentage		100%	82%	80%	90%	83%	87%	83%	80%	79%	90%	67%
Avg Max Increase		10.66%	7.44%	9.11%	9.41%	10.77%	9.47%	8.29%	10.35%	13.80%	10.96%	10.67%
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		18	16	19	19	17	16	14	20	17	17	16
Avg Max Decline		-2.27%	-1.98%	-1.40%	-3.34%	-1.40%	-2.15%	-2.13%	-2.62%	-2.28%	-3.32%	-1.73%
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	7	12	9	9	6	12	5	9	3
2019 Contract Condition		Yes	Yes	Yes	Yes		Yes	Yes				Yes
Action		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		29	32	33	39	40	40	40	40	40	40	40
Closed Lower		8	10	18	19	15	17	17	20	21	19	25
Penetrated Low		5	6	12	14	9	11	13	18	21	14	13
Scenario Percentage		63%	60%	67%	74%	60%	65%	76%	90%	100%	74%	52%
Avg Max Decline		6.17%	8.05%	9.34%	6.85%	8.56%	11.62%	11.19%	16.23%	13.74%	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		12	19	18	18	17	17	15	19	20	16	15
Avg Max Increase		-2.27%	-3.11%	-1.33%	-2.25%	-2.46%	-2.41%	-2.24%	-2.45%	-4.00%	-3.62%	-2.70%
Max Increase		-5.31%	-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		9	12	4	12	10	15	8	9	14	10	4
2019 Contract Condition						Yes			Yes	Yes	Yes
Action						No			Yes	Yes	No
High	200.47	202.77	213.65	228.29	223.03	224.75	225.21	236.01	244.76	223.53	193.45	192.97
Low	182.00	185.10	193.70	207.62	208.86	206.88	207.83	218.48	222.13	177.30	162.35	163.37
Close/Last	189.04	200.29	211.74	220.64	222.34	214.81	223.43	234.50	223.42	181.53	166.99	187.74