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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April NY Harbor ULSD(NYM) as of Dec 30, 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   27 29 34 34 35 36 36 36 37 37 37
Closed Higher   20 12 17 22 19 19 18 16 18 16 18
Exceeded High   16 10 16 19 16 13 13 12 17 12 17
Scenario Percentage   80% 83% 94% 86% 84% 68% 72% 75% 94% 75% 94%
Avg Max Increase   6.74% 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   15 19 19 15 15 15 21 19 18 11 15
Avg Max Decline   -1.67% -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
2016 Contract Condition   Yes       Yes           Yes
Action   Yes       No           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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   27 29 34 34 35 36 36 36 37 37 37
Closed Lower   7 17 17 12 16 17 18 20 19 21 19
Penetrated Low   4 11 13 7 9 15 16 19 16 13 14
Scenario Percentage   57% 65% 76% 58% 56% 88% 89% 95% 84% 62% 74%
Avg Max Decline   3.70% 8.61% 6.21% 9.59% 12.84% 9.71% 15.13% 15.01% 14.78% 13.01% 5.97%
Max Decline   5.22% 17.34% 26.00% 23.54% 38.98% 42.56% 41.36% 37.73% 36.13% 22.36% 13.25%
Avg Days To Max Decline   14 16 13 20 16 15 19 20 20 13 10
Avg Max Increase   -2.75% -1.48% -2.30% -2.82% -2.15% -3.48% -2.27% -2.98% -4.05% -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 9 14 11 11 7 12 12 6 4
2016 Contract Condition     Yes Yes Yes   Yes Yes Yes Yes Yes  
Action     Yes Yes Yes   Yes Yes Yes Yes No  
High 201.51 204.52 210.52 202.06 193.81 175.57 172.27 169.93 162.07 144.52 121.82 112.86
Low 178.29 183.00 192.22 190.00 165.85 144.88 155.72 149.43 140.32 114.67 87.50 97.35
Close/Last 184.52 204.51 200.63 195.78 166.68 175.35 158.70 157.33 140.52 116.73 109.32 109.37

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