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