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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 Oct 20, 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   31 35 36 39 39 40 40 40 40 40 40
Closed Higher   15 19 24 23 21 18 20 18 17 20 26
Exceeded High   12 17 19 20 13 14 16 16 14 18 22
Scenario Percentage   80% 89% 79% 87% 62% 78% 80% 89% 82% 90% 85%
Avg Max Increase   9.07% 9.21% 9.73% 7.76% 9.15% 9.93% 10.46% 9.68% 12.14% 11.64% 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 16 16 21 15 17 13 13 19
Avg Max Decline   -0.95% -2.67% -1.28% -1.70% -1.55% -2.18% -1.83% -2.37% -2.01% -2.91% -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 10 10 8 5 9 6 11 6 8 2
2019 Contract Condition   Yes Yes   Yes Yes       Yes Yes  
Action   No Yes   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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   31 35 36 39 39 40 40 40 40 40 40
Closed Lower   16 16 12 16 18 22 20 22 23 20 14
Penetrated Low   10 11 8 10 14 20 18 16 15 14 9
Scenario Percentage   63% 69% 67% 63% 78% 91% 90% 73% 65% 70% 64%
Avg Max Decline   7.28% 6.05% 8.59% 12.04% 10.35% 14.28% 13.78% 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 19 19 20 16 12 10
Avg Max Increase   -0.75% -1.76% -1.89% -2.17% -2.02% -2.10% -2.76% -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
2019 Contract Condition       Yes     Yes Yes Yes     Yes
Action       No     Yes Yes No     Not Yet
High 210.45 225.94 220.56 222.24 222.50 233.73 242.57 221.44 192.32 191.53 204.21 204.20
Low 192.00 205.15 206.89 205.20 205.99 216.53 220.79 176.92 160.80 162.05 185.27 193.69
Close/Last 208.65 218.86 219.83 212.85 221.12 232.55 221.65 180.79 165.49 186.66 202.17 197.14

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