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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 Jun 30, 2022
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   34 38 39 42 42 43 43 43 43 43 43
Closed Higher   17 22 27 24 23 19 22 21 19 22 27
Exceeded High   14 20 22 20 14 14 18 19 16 20 21
Scenario Percentage   82% 91% 81% 83% 61% 74% 82% 90% 84% 91% 78%
Avg Max Increase   9.05% 8.53% 9.10% 7.76% 9.22% 9.93% 10.99% 11.48% 16.34% 15.00% 12.30%
Max Increase   25.87% 23.36% 56.36% 29.50% 19.39% 21.64% 25.04% 30.08% 66.80% 83.44% 55.37%
Avg Days To Max Increase   18 18 17 16 16 21 16 18 13 13 18
Avg Max Decline   -1.23% -2.82% -2.18% -1.70% -1.47% -2.18% -1.75% -2.27% -1.90% -2.77% -2.07%
Max Decline   -4.80% -13.85% -13.07% -6.87% -7.85% -5.83% -8.29% -7.95% -7.14% -14.74% -10.01%
Avg Days to Max Decline   9 10 10 8 5 9 5 10 5 7 2
2022 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes Yes Yes
Action   Yes Yes Yes   Yes No   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   34 38 39 42 42 43 43 43 43 43 43
Closed Lower   17 16 12 18 19 24 21 22 24 21 16
Penetrated Low   11 11 8 10 15 21 19 16 16 15 10
Scenario Percentage   65% 69% 67% 56% 79% 88% 90% 73% 67% 71% 63%
Avg Max Decline   7.03% 6.05% 8.59% 12.04% 10.39% 13.79% 13.21% 15.27% 14.93% 10.92% 9.44%
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 14 18 18 20 16 13 12
Avg Max Increase   -0.75% -1.76% -1.89% -2.17% -2.10% -2.14% -2.84% -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 9 10 7 7 2
2022 Contract Condition         Yes     Yes        
Action         No     Yes        
High 195.45 204.44 213.50 214.03 209.78 226.30 246.85 239.10 233.44 261.77 294.08 431.49
Low 175.98 189.93 200.16 192.30 185.40 202.90 223.45 197.79 195.27 226.01 254.67 284.50
Close/Last 190.90 200.13 208.01 213.27 206.05 224.20 234.49 201.27 226.87 258.68 284.66 336.09

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