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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, 2019
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   30 34 35 38 38 39 39 39 39 39 39
Closed Higher   14 18 24 22 20 18 20 18 16 19 26
Exceeded High   12 16 19 19 12 14 16 16 13 17 22
Scenario Percentage   86% 89% 79% 86% 60% 78% 80% 89% 81% 89% 85%
Avg Max Increase   9.07% 9.71% 9.73% 7.65% 9.56% 9.93% 10.46% 9.68% 12.35% 12.03% 9.74%
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   17 18 17 17 17 21 15 17 13 13 19
Avg Max Decline   -0.95% -2.42% -1.28% -1.68% -1.69% -2.18% -1.83% -2.37% -2.10% -2.84% -2.29%
Max Decline   -4.80% -13.85% -7.35% -6.87% -7.85% -5.83% -8.29% -7.95% -7.14% -14.74% -10.01%
Avg Days to Max Decline   6 9 10 8 5 9 6 11 6 7 2
2018 Contract Condition       Yes Yes Yes Yes Yes Yes Yes   Yes
Action       Yes Yes Yes Yes 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   30 34 35 38 38 39 39 39 39 39 39
Closed Lower   16 16 11 16 18 21 19 21 23 20 13
Penetrated Low   10 11 8 10 14 19 17 16 15 14 9
Scenario Percentage   63% 69% 73% 63% 78% 90% 89% 76% 65% 70% 69%
Avg Max Decline   7.28% 6.05% 8.59% 12.04% 10.35% 13.59% 13.94% 15.27% 13.11% 7.41% 5.87%
Max Decline   16.98% 25.67% 23.48% 38.52% 41.64% 40.53% 37.04% 39.03% 32.40% 20.93% 9.77%
Avg Days To Max Decline   17 14 17 15 15 18 19 20 16 12 10
Avg Max Increase   -0.75% -1.76% -1.89% -2.17% -2.02% -2.22% -2.54% -3.69% -2.99% -1.76% -2.51%
Max Increase   -2.79% -6.62% -9.00% -12.53% -7.04% -6.54% -9.43% -12.34% -10.85% -12.26% -7.79%
Avg Days to Max Increase   3 7 12 12 8 7 10 10 6 8 2
2018 Contract Condition   Yes Yes               Yes  
Action   Yes No               No  
High 171.01 164.77 157.75 164.54 165.81 177.56 185.02 192.59 200.28 208.95 207.34 204.85
Low 156.90 146.00 143.24 147.61 156.07 161.68 168.45 181.11 183.18 198.02 180.93 184.42
Close/Last 158.16 157.12 152.86 164.54 165.10 173.72 184.35 186.84 199.31 204.06 190.50 202.10

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