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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 Jun 08, 2020
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   31 33 38 38 39 40 40 40 41 41 41
Closed Higher   23 14 20 24 22 23 19 19 21 18 20
Exceeded High   18 11 18 21 19 16 14 15 20 13 18
Scenario Percentage   78% 79% 90% 88% 86% 70% 74% 79% 95% 72% 90%
Avg Max Increase   6.99% 9.42% 9.10% 9.87% 8.94% 7.87% 9.62% 13.10% 9.28% 12.98% 8.90%
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 17 17 10 14
Avg Max Decline   -1.88% -1.08% -3.06% -1.59% -1.80% -1.73% -2.80% -2.18% -3.26% -2.54% -2.42%
Max Decline   -6.43% -4.54% -14.40% -10.62% -8.59% -8.11% -8.29% -8.28% -10.05% -8.26% -9.12%
Avg Days to Max Decline   6 8 13 8 9 6 13 5 12 6 4
2020 Contract Condition   Yes   Yes Yes   Yes   Yes Yes    
Action   No   Yes Yes   No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   31 33 38 38 39 40 40 40 41 41 41
Closed Lower   8 19 18 14 17 17 21 21 20 23 21
Penetrated Low   5 13 13 8 9 15 18 20 16 15 15
Scenario Percentage   63% 68% 72% 57% 53% 88% 86% 95% 80% 65% 71%
Avg Max Decline   4.93% 8.37% 6.21% 8.84% 12.84% 9.71% 15.44% 14.81% 14.78% 14.78% 8.02%
Max Decline   9.85% 17.34% 26.00% 23.54% 38.98% 42.56% 41.36% 37.73% 36.13% 42.72% 36.76%
Avg Days To Max Decline   16 16 13 17 16 15 19 21 20 14 11
Avg Max Increase   -3.07% -1.35% -2.30% -2.35% -2.15% -3.48% -2.16% -3.16% -4.05% -3.35% -1.28%
Max Increase   -5.93% -8.90% -7.74% -12.41% -13.21% -15.93% -6.84% -11.89% -13.07% -11.25% -6.72%
Avg Days to Max Increase   11 4 9 12 11 11 6 12 12 7 4
2020 Contract Condition     Yes     Yes   Yes     Yes Yes
Action     Yes     No   No     Yes Yes
High 205.14 213.98 210.75 196.83 199.68 192.39 201.57 191.40 193.58 205.32 210.50 171.40
Low 199.75 201.90 184.01 176.36 184.97 173.62 175.00 175.59 181.71 184.11 162.08 143.83
Close/Last 201.30 209.42 185.07 193.47 194.25 180.34 182.34 181.91 185.00 199.97 163.10 147.73

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