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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 Nov 09, 2020
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   32 36 37 40 40 41 41 41 41 41 41
Closed Higher   15 20 25 23 22 18 21 19 17 20 26
Exceeded High   12 18 20 20 13 14 17 17 14 18 22
Scenario Percentage   80% 90% 80% 87% 59% 78% 81% 89% 82% 90% 85%
Avg Max Increase   9.07% 8.85% 9.41% 7.76% 9.15% 9.93% 10.65% 9.43% 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% -2.68% -1.73% -1.70% -1.55% -2.18% -1.74% -2.39% -2.01% -2.91% -2.29%
Max Decline   -4.80% -13.85% -10.33% -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 8 2
2020 Contract Condition     Yes Yes   Yes   Yes Yes      
Action     Yes Yes   No   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   32 36 37 40 40 41 41 41 41 41 41
Closed Lower   17 16 12 17 18 23 20 22 24 21 15
Penetrated Low   11 11 8 10 14 20 18 16 16 15 10
Scenario Percentage   65% 69% 67% 59% 78% 87% 90% 73% 67% 71% 67%
Avg Max Decline   7.03% 6.05% 8.59% 12.04% 10.35% 14.28% 13.78% 15.27% 14.93% 10.95% 9.49%
Max Decline   16.98% 25.67% 23.48% 38.52% 41.64% 40.53% 37.04% 39.03% 42.35% 60.61% 42.09%
Avg Days To Max Decline   16 14 17 15 15 19 19 20 16 13 12
Avg Max Increase   -0.75% -1.76% -1.89% -2.17% -2.02% -2.10% -2.76% -3.69% -3.09% -2.08% -3.63%
Max Increase   -2.79% -6.62% -9.00% -12.53% -7.04% -6.54% -9.43% -12.34% -10.85% -12.26% -13.67%
Avg Days to Max Increase   3 7 12 12 8 7 10 10 7 7 2
2020 Contract Condition   Yes     Yes   Yes     Yes Yes Yes
Action   Yes     No   No     Yes Yes Yes
High 212.57 209.15 195.60 197.60 191.30 199.41 189.97 191.88 203.67 209.15 171.08 156.94
Low 201.77 183.31 176.08 184.48 173.15 174.28 174.46 181.08 183.13 162.59 143.77 94.30
Close/Last 208.33 184.33 192.45 193.10 179.35 181.09 180.68 183.75 198.42 163.58 147.25 100.15

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