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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 Feb 21, 2020
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
2020 Contract Condition     Yes   Yes Yes   Yes   Yes Yes  
Action     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 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
2020 Contract Condition   Yes   Yes     Yes   Yes     Yes
Action   Yes   Yes     No   No     Yes
High 207.49 206.72 215.38 212.99 198.52 201.55 193.86 204.01 193.83 195.42 207.08 211.77
Low 194.14 199.75 203.41 185.23 177.39 186.19 174.74 176.37 177.48 183.12 185.67 161.81
Close/Last 206.49 202.50 210.92 186.31 194.95 195.87 181.93 184.44 183.95 186.59 201.65 162.84

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