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