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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 21, 2022
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   32 34 39 39 40 41 41 41 42 42 42
Closed Higher   23 15 21 25 23 23 19 20 22 19 21
Exceeded High   18 12 19 22 19 16 14 16 21 14 19
Scenario Percentage   78% 80% 90% 88% 83% 70% 74% 80% 95% 74% 90%
Avg Max Increase   6.99% 9.57% 9.07% 9.69% 8.94% 7.87% 9.62% 13.37% 10.21% 13.81% 8.85%
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 18 15 15 15 22 18 17 10 14
Avg Max Decline   -1.88% -1.13% -2.93% -1.50% -1.80% -1.73% -2.80% -2.20% -3.21% -2.42% -2.45%
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 7 14 8 9 6 13 5 11 6 4
2021 Contract Condition     Yes Yes Yes Yes     Yes Yes Yes Yes
Action     Yes Yes Yes No     Yes Yes 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   32 34 39 39 40 41 41 41 42 42 42
Closed Lower   9 19 18 14 17 18 22 21 20 23 21
Penetrated Low   5 13 13 8 9 16 19 20 16 15 15
Scenario Percentage   56% 68% 72% 57% 53% 89% 86% 95% 80% 65% 71%
Avg Max Decline   4.93% 8.37% 6.21% 8.84% 12.84% 9.83% 14.86% 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 14 18 21 20 14 11
Avg Max Increase   -3.07% -1.35% -2.30% -2.35% -2.15% -3.49% -2.20% -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
2021 Contract Condition   Yes         Yes Yes        
Action   No         Yes Yes        
High 163.69 131.89 122.45 134.20 135.49 139.25 134.33 125.40 141.64 151.74 163.01 191.30
Low 116.00 104.82 106.00 119.72 127.55 131.21 116.63 109.18 107.10 135.55 145.41 158.07
Close/Last 122.06 110.54 121.89 128.43 131.48 132.08 121.16 111.97 138.95 148.51 159.43 184.31

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