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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May NY Harbor ULSD(NYM) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   26 30 31 34 34 35 35 35 35 35 35
Closed Higher   12 16 23 19 18 17 18 16 15 17 24
Exceeded High   10 16 18 17 10 13 14 14 13 16 20
Scenario Percentage   83% 100% 78% 89% 56% 76% 78% 88% 87% 94% 83%
Avg Max Increase   9.94% 9.71% 9.84% 7.17% 9.79% 10.03% 10.33% 10.59% 12.35% 12.68% 9.39%
Max Increase   25.87% 23.36% 56.36% 29.50% 19.39% 21.64% 25.04% 30.08% 27.08% 29.40% 19.16%
Avg Days To Max Increase   18 18 17 16 16 20 16 18 13 12 18
Avg Max Decline   -0.90% -2.42% -1.06% -1.56% -1.68% -2.21% -1.96% -2.48% -2.10% -2.09% -1.84%
Max Decline   -4.80% -13.85% -7.35% -6.87% -7.85% -5.83% -8.29% -7.95% -7.14% -10.28% -8.30%
Avg Days to Max Decline   6 9 10 8 6 10 6 12 6 6 2
2014 Contract Condition     Yes Yes Yes   Yes Yes Yes   Yes  
Action     Yes Yes No   Yes Yes No   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   26 30 31 34 34 35 35 35 35 35 35
Closed Lower   14 14 8 15 16 18 17 19 20 18 11
Penetrated Low   8 10 5 9 12 16 15 14 14 14 9
Scenario Percentage   57% 71% 63% 60% 75% 89% 88% 74% 70% 78% 82%
Avg Max Decline   5.88% 4.09% 8.71% 11.66% 9.46% 12.20% 11.56% 14.71% 13.33% 7.41% 5.87%
Max Decline   8.56% 10.22% 23.48% 38.52% 41.64% 40.53% 28.47% 39.03% 32.40% 20.93% 9.77%
Avg Days To Max Decline   16 13 17 15 13 17 19 20 15 12 10
Avg Max Increase   -0.80% -2.04% -3.35% -2.37% -1.68% -2.30% -2.48% -3.76% -2.96% -1.76% -2.51%
Max Increase   -2.79% -6.62% -9.00% -12.53% -6.39% -6.54% -9.43% -12.34% -10.85% -12.26% -7.79%
Avg Days to Max Increase   3 7 17 13 9 8 11 11 6 8 2
2014 Contract Condition   Yes       Yes       Yes   Yes
Action   No       Yes       No   Yes
High 300.25 294.02 295.23 301.25 309.45 306.73 301.94 302.21 307.00 304.04 305.63 306.40
Low 278.00 276.85 280.48 283.76 288.49 288.75 288.20 283.93 293.64 286.53 288.77 287.40
Close/Last 284.04 281.59 283.75 298.97 303.42 291.84 293.37 299.90 303.39 291.40 298.85 292.98

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