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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 30, 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   33 35 40 40 41 42 42 42 43 43 43
Closed Higher   24 16 22 26 23 24 20 20 23 20 22
Exceeded High   19 13 20 23 19 17 14 16 22 15 20
Scenario Percentage   79% 81% 91% 88% 83% 71% 70% 80% 96% 75% 91%
Avg Max Increase   7.26% 9.39% 8.76% 9.54% 8.94% 8.00% 9.62% 13.37% 11.18% 18.03% 11.37%
Max Increase   30.75% 26.14% 23.82% 59.17% 31.26% 19.36% 23.56% 28.14% 37.61% 77.14% 59.35%
Avg Days To Max Increase   16 19 19 16 15 15 22 18 18 10 13
Avg Max Decline   -1.79% -1.35% -3.17% -2.00% -1.80% -1.64% -2.80% -2.20% -3.08% -2.37% -2.33%
Max Decline   -6.43% -4.54% -14.40% -13.12% -8.59% -8.11% -8.29% -8.28% -10.05% -8.26% -9.12%
Avg Days to Max Decline   6 10 14 8 9 6 13 5 11 5 4
2022 Contract Condition   Yes Yes Yes Yes   Yes Yes   Yes Yes Yes
Action   Yes Yes Yes Yes   Yes No   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   33 35 40 40 41 42 42 42 43 43 43
Closed Lower   9 19 18 14 18 18 22 22 20 23 21
Penetrated Low   5 13 13 8 9 16 19 21 16 15 15
Scenario Percentage   56% 68% 72% 57% 50% 89% 86% 95% 80% 65% 71%
Avg Max Decline   4.93% 8.37% 6.21% 8.84% 12.84% 9.83% 14.86% 14.24% 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 20 20 14 11
Avg Max Increase   -3.07% -1.35% -2.30% -2.35% -2.15% -3.49% -2.20% -3.22% -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 11 12 7 4
2022 Contract Condition           Yes     Yes      
Action           No     Yes      
High 192.61 196.02 205.01 214.70 215.37 213.89 227.90 248.92 242.15 235.12 267.34 300.64
Low 175.00 176.52 190.88 201.34 193.10 186.45 203.79 225.10 198.76 196.65 227.40 259.20
Close/Last 177.90 191.49 200.93 209.35 214.60 207.37 225.90 237.15 202.42 228.48 263.68 293.13

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