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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 Jan 01, 2019
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   29 31 36 36 37 38 38 38 39 39 39
Closed Higher   21 13 18 23 21 21 19 18 20 17 19
Exceeded High   17 11 16 20 18 15 14 14 19 12 17
Scenario Percentage   81% 85% 89% 87% 86% 71% 74% 78% 95% 71% 89%
Avg Max Increase   6.92% 9.42% 9.96% 10.17% 8.90% 8.11% 9.62% 13.05% 9.49% 13.27% 9.32%
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 18 19 16 15 15 22 18 17 11 15
Avg Max Decline   -1.88% -1.08% -2.82% -1.14% -1.78% -1.84% -2.80% -2.30% -3.27% -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 13 6 12 6 4
2018 Contract Condition         Yes Yes Yes Yes Yes Yes Yes  
Action         Yes Yes Yes Yes Yes Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 31 36 36 37 38 38 38 39 39 39
Closed Lower   8 18 18 13 16 17 19 20 19 22 20
Penetrated Low   5 12 13 8 9 15 17 19 16 14 14
Scenario Percentage   63% 67% 72% 62% 56% 88% 89% 95% 84% 64% 70%
Avg Max Decline   4.93% 8.67% 6.21% 8.84% 12.84% 9.71% 14.73% 15.01% 14.78% 12.79% 5.97%
Max Decline   9.85% 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   16 17 13 17 16 15 19 20 20 13 10
Avg Max Increase   -3.07% -1.39% -2.30% -2.35% -2.15% -3.48% -2.28% -2.98% -4.05% -3.23% -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   11 4 9 12 11 11 7 12 12 6 4
2018 Contract Condition   Yes Yes Yes               Yes
Action   Yes Yes No               Not Yet
High 170.70 172.23 165.37 158.24 165.51 166.54 179.48 185.88 193.94 202.38 210.98 208.80
Low 156.91 157.20 148.01 142.83 147.22 156.43 162.14 169.30 181.99 184.21 199.96 180.97
Close/Last 163.50 158.43 157.59 152.83 165.36 165.70 175.34 185.28 187.90 201.36 205.47 190.35

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