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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 Feb 21, 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   30 32 37 37 38 39 39 39 40 40 40
Closed Higher   22 14 19 23 22 22 19 18 20 18 20
Exceeded High   18 11 17 20 19 16 14 14 19 13 18
Scenario Percentage   82% 79% 89% 87% 86% 73% 74% 78% 95% 72% 90%
Avg Max Increase   6.99% 9.42% 9.45% 10.17% 8.94% 7.87% 9.62% 13.05% 9.49% 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 20 16 15 15 22 18 17 10 14
Avg Max Decline   -1.88% -1.08% -3.06% -1.14% -1.80% -1.73% -2.80% -2.30% -3.27% -2.54% -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   6 8 14 8 9 6 13 6 12 6 4
2020 Contract Condition   Yes   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   30 32 37 37 38 39 39 39 40 40 40
Closed Lower   8 18 18 14 16 17 20 21 20 22 20
Penetrated Low   5 12 13 8 9 15 18 20 16 14 14
Scenario Percentage   63% 67% 72% 57% 56% 88% 90% 95% 80% 64% 70%
Avg Max Decline   4.93% 8.67% 6.21% 8.84% 12.84% 9.71% 15.44% 14.81% 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 21 20 13 10
Avg Max Increase   -3.07% -1.39% -2.30% -2.35% -2.15% -3.48% -2.16% -3.16% -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 6 12 12 6 4
2020 Contract Condition     Yes     Yes   Yes     Yes  
Action     Yes     No   No     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 199.75 201.90 184.01 176.36 184.97 173.62 175.00 175.59 181.71 184.11 162.08 157.24
Close/Last 201.30 209.42 185.07 193.47 194.25 180.34 182.34 181.91 185.00 199.97 163.10 168.15

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