MRCI's ScenarioSM Study

ScenarioSM Study for April NY Harbor ULSD(NYM) as of Jan 01, 2016
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		26	28	33	33	34	35	35	35	36	36	36
Closed Higher		19	12	17	22	18	19	18	16	18	16	18
Exceeded High		15	10	16	19	16	13	13	12	17	12	17
Scenario Percentage		79%	83%	94%	86%	89%	68%	72%	75%	94%	75%	94%
Avg Max Increase		6.99%	9.90%	9.96%	10.26%	8.52%	8.07%	9.65%	13.28%	10.20%	13.27%	9.37%
Max Increase		30.75%	26.14%	23.82%	59.17%	31.26%	19.36%	23.56%	28.14%	37.61%	28.18%	27.13%
Avg Days To Max Increase		16	19	19	15	15	15	21	19	18	11	15
Avg Max Decline		-1.74%	-1.03%	-2.82%	-0.92%	-1.66%	-1.82%	-2.88%	-2.48%	-3.46%	-2.69%	-2.42%
Max Decline		-6.43%	-4.54%	-14.40%	-7.62%	-8.59%	-8.11%	-8.29%	-8.28%	-10.05%	-8.26%	-9.12%
Avg Days to Max Decline		7	8	13	8	9	7	14	6	13	6	4
2015 Contract Condition		Yes	Yes	Yes								Yes
Action		Yes	Yes	No								Not Yet

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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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		26	28	33	33	34	35	35	35	36	36	36
Closed Lower		7	16	16	11	16	16	17	19	18	20	18
Penetrated Low		4	10	12	6	9	14	15	18	15	13	14
Scenario Percentage		57%	63%	75%	55%	56%	88%	88%	95%	83%	65%	78%
Avg Max Decline		3.70%	7.74%	4.56%	9.01%	12.84%	9.58%	14.34%	13.75%	14.10%	13.01%	5.97%
Max Decline		5.22%	13.97%	11.24%	23.54%	38.98%	42.56%	41.36%	30.25%	36.13%	22.36%	13.25%
Avg Days To Max Decline		14	15	12	19	16	14	18	20	20	13	10
Avg Max Increase		-2.75%	-1.56%	-2.57%	-3.51%	-2.15%	-3.23%	-2.22%	-2.99%	-4.03%	-3.19%	-0.90%
Max Increase		-5.93%	-8.90%	-7.74%	-12.41%	-13.21%	-15.93%	-6.84%	-11.89%	-13.07%	-11.25%	-6.19%
Avg Days to Max Increase		8	4	10	15	11	11	7	12	12	6	4
2015 Contract Condition					Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action					Yes	Yes	Yes	Yes	Yes	Yes	No
High	292.12	293.35	291.54	302.88	298.37	291.24	285.60	269.33	250.10	219.12	183.61	197.86
Low	282.64	280.00	284.06	284.90	287.99	281.77	265.00	240.28	211.41	176.15	154.80	165.17
Close/Last	286.56	287.26	287.89	297.46	289.85	284.91	265.85	248.71	212.18	180.29	168.05	197.37