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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June NY Harbor ULSD(NYM) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   27 29 30 31 31 35 36 36 36 36 36
Closed Higher   14 21 16 14 13 17 17 15 18 25 28
Exceeded High   13 19 14 10 10 12 14 11 17 24 17
Scenario Percentage   93% 90% 88% 71% 77% 71% 82% 73% 94% 96% 61%
Avg Max Increase   9.16% 8.90% 7.32% 7.69% 9.45% 10.95% 9.77% 11.70% 11.43% 11.38% 8.44%
Max Increase   22.79% 53.13% 27.06% 18.49% 21.26% 22.51% 24.36% 27.54% 26.61% 40.66% 27.15%
Avg Days To Max Increase   15 15 14 17 23 18 19 13 15 16 16
Avg Max Decline   -1.52% -0.91% -0.99% -1.47% -2.59% -2.43% -2.25% -2.08% -2.48% -2.38% -1.70%
Max Decline   -13.80% -7.74% -5.65% -6.97% -5.28% -8.45% -7.83% -6.67% -14.35% -7.62% -5.80%
Avg Days to Max Decline   9 8 8 5 11 7 12 6 7 5 4
2015 Contract Condition   Yes               Yes   Yes
Action   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   27 29 30 31 31 35 36 36 36 36 36
Closed Lower   13 8 14 17 18 18 19 21 18 11 8
Penetrated Low   10 6 9 14 16 15 14 14 14 9 4
Scenario Percentage   77% 75% 64% 82% 89% 83% 74% 67% 78% 82% 50%
Avg Max Decline   4.87% 8.27% 12.55% 10.85% 13.10% 12.81% 14.61% 12.59% 7.22% 7.70% 4.76%
Max Decline   13.21% 23.19% 38.38% 41.24% 39.69% 27.66% 38.28% 35.51% 22.32% 11.88% 6.87%
Avg Days To Max Decline   14 19 19 16 19 20 19 15 12 10 13
Avg Max Increase   -3.14% -3.04% -2.32% -1.45% -2.14% -2.00% -3.92% -2.37% -2.22% -2.86% -1.53%
Max Increase   -7.73% -8.83% -12.29% -5.89% -6.14% -8.57% -11.53% -7.28% -10.34% -6.00% -5.13%
Avg Days to Max Increase   11 13 15 8 6 10 10 6 11 8 3
2015 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes  
Action     Yes Yes Yes Yes Yes Yes No   No  
High 288.96 299.66 295.21 288.78 284.41 269.54 250.25 219.81 184.89 193.50 193.10 198.56
Low 281.43 282.69 286.10 281.06 265.69 240.98 212.05 177.04 156.66 166.35 165.38 167.49
Close/Last 285.29 294.26 287.60 283.25 266.51 249.04 212.85 181.44 169.30 193.08 171.64 198.05

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