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