MRCI's ScenarioSM Study

ScenarioSM Study for March NY Harbor ULSD(NYM) as of May 10, 2021
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		31	34	35	41	42	42	42	42	42	42	42
Closed Higher		21	23	16	22	26	24	24	20	21	23	16
Exceeded High		21	18	13	20	22	20	19	16	17	21	11
Scenario Percentage		100%	78%	81%	91%	85%	83%	79%	80%	81%	91%	69%
Avg Max Increase		10.66%	7.44%	9.34%	9.05%	10.25%	9.47%	8.29%	10.35%	14.03%	11.26%	11.53%
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	18	16	16	14	20	17	16	17
Avg Max Decline		-2.27%	-1.98%	-1.44%	-3.24%	-1.79%	-2.15%	-2.13%	-2.62%	-2.19%	-3.27%	-1.66%
Max Decline		-8.64%	-7.69%	-5.71%	-17.69%	-10.79%	-10.58%	-10.07%	-8.35%	-8.24%	-13.01%	-9.43%
Avg Days to Max Decline		11	6	7	13	9	9	6	12	5	8	3
2021 Contract Condition				Yes	Yes	Yes	Yes			Yes	Yes	Yes
Action				Yes	Yes	Yes	No			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		31	34	35	41	42	42	42	42	42	42	42
Closed Lower		10	11	19	19	15	18	18	22	21	19	26
Penetrated Low		7	6	13	14	9	11	14	19	21	14	14
Scenario Percentage		70%	55%	68%	74%	60%	61%	78%	86%	100%	74%	54%
Avg Max Decline		7.62%	8.05%	8.99%	6.85%	8.56%	11.62%	11.28%	15.65%	13.74%	16.31%	8.76%
Max Decline		13.96%	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		17	19	17	18	17	17	14	18	20	16	15
Avg Max Increase		-4.00%	-3.11%	-1.30%	-2.25%	-2.46%	-2.41%	-2.34%	-2.48%	-4.00%	-3.62%	-2.90%
Max Increase		-10.29%	-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		10	12	4	12	10	15	8	8	14	10	5
2021 Contract Condition		Yes	Yes					Yes	Yes
Action		Yes	No					Yes	Yes
High	174.70	163.37	133.55	121.82	134.90	135.81	139.07	133.92	124.94	141.41	151.85	163.50
Low	153.23	114.84	104.18	105.13	118.79	126.64	130.26	115.67	108.24	105.52	135.11	145.33
Close/Last	155.00	121.09	109.65	121.16	128.31	131.21	131.45	120.60	111.28	138.59	148.54	159.84