MRCI's ScenarioSM Study

ScenarioSM Study for March NY Harbor ULSD(NYM) as of Aug 18, 2023
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		33	36	37	43	44	44	44	44	44	44	44
Closed Higher		22	25	18	24	27	25	25	22	21	24	17
Exceeded High		22	20	15	21	23	20	20	16	17	22	12
Scenario Percentage		100%	80%	83%	88%	85%	80%	80%	73%	81%	92%	71%
Avg Max Increase		11.07%	8.48%	9.64%	8.78%	10.10%	9.47%	8.42%	10.35%	14.03%	12.48%	11.59%
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	18	17	17	16	14	20	17	17	17
Avg Max Decline		-2.15%	-1.96%	-1.14%	-3.16%	-2.29%	-2.15%	-2.06%	-2.62%	-2.19%	-3.14%	-1.68%
Max Decline		-8.64%	-7.69%	-5.71%	-17.69%	-13.34%	-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	8	3
2023 Contract Condition		Yes	Yes	Yes	Yes		Yes		Yes
Action		Yes	Yes	Yes	No		No		No

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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		33	36	37	43	44	44	44	44	44	44	44
Closed Lower		11	11	19	19	16	19	19	22	23	20	27
Penetrated Low		7	6	13	14	10	11	14	19	23	15	15
Scenario Percentage		64%	55%	68%	74%	63%	58%	74%	86%	100%	75%	56%
Avg Max Decline		7.62%	8.05%	8.99%	6.85%	8.96%	11.62%	11.28%	15.65%	13.36%	16.31%	9.71%
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	18	17	14	18	19	16	16
Avg Max Increase		-4.00%	-3.11%	-1.30%	-2.25%	-3.43%	-2.41%	-2.34%	-2.48%	-3.91%	-3.98%	-2.72%
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	11	15	8	8	12	11	5
2023 Contract Condition						Yes		Yes		Yes	Yes	Yes
Action						Yes		No		Yes	Yes	Yes
High	269.47	302.50	312.63	336.77	376.83	345.47	363.16	335.15	347.93	347.10	325.43	346.64
Low	243.00	259.93	282.23	296.08	328.81	301.88	297.50	283.05	300.12	298.83	270.47	285.00
Close/Last	257.03	281.03	305.87	326.51	333.43	323.71	331.67	294.63	326.37	321.25	317.92	314.48