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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 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   31 33 34 35 35 39 40 40 40 40 40
Closed Higher   16 22 20 17 14 19 19 17 20 27 31
Exceeded High   14 20 17 13 11 14 16 12 18 26 20
Scenario Percentage   88% 91% 85% 76% 79% 74% 84% 71% 90% 96% 65%
Avg Max Increase   8.60% 8.84% 7.98% 7.56% 9.33% 10.98% 8.98% 11.49% 11.10% 12.22% 8.21%
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   16 15 14 16 23 17 18 14 15 16 16
Avg Max Decline   -1.87% -1.12% -1.26% -1.42% -2.51% -2.23% -2.16% -1.97% -2.56% -2.71% -2.10%
Max Decline   -13.80% -7.74% -5.65% -6.97% -5.28% -8.45% -7.83% -6.67% -14.35% -9.71% -7.64%
Avg Days to Max Decline   10 9 9 4 10 6 11 5 7 5 4
2019 Contract Condition   Yes   Yes Yes       Yes Yes   Yes
Action   Yes   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   31 33 34 35 35 39 40 40 40 40 40
Closed Lower   15 11 14 18 21 20 21 23 20 13 9
Penetrated Low   11 8 9 15 19 17 15 15 14 11 5
Scenario Percentage   73% 73% 64% 83% 90% 85% 71% 65% 70% 85% 56%
Avg Max Decline   6.77% 8.36% 12.55% 10.81% 14.18% 14.08% 15.28% 12.41% 7.22% 8.21% 5.57%
Max Decline   25.78% 23.19% 38.38% 41.24% 39.69% 36.31% 38.28% 35.51% 22.32% 14.21% 8.78%
Avg Days To Max Decline   15 17 19 17 20 20 19 15 12 12 11
Avg Max Increase   -2.77% -2.26% -2.32% -1.82% -2.08% -2.31% -3.91% -2.44% -2.22% -3.62% -1.27%
Max Increase   -7.73% -8.83% -12.29% -7.00% -6.14% -8.57% -11.53% -7.28% -10.34% -8.25% -5.13%
Avg Days to Max Increase   10 10 15 8 5 9 9 6 11 12 2
2019 Contract Condition     Yes     Yes Yes Yes     Yes  
Action     No     Yes Yes No     Yes  
High 225.46 220.19 221.63 222.06 233.21 242.40 221.55 192.63 191.60 203.99 203.88 212.68
Low 204.07 206.46 205.08 205.61 215.95 220.38 177.55 161.38 162.83 185.58 193.99 197.46
Close/Last 218.30 219.29 212.48 220.56 231.93 221.36 181.25 166.28 186.90 201.84 197.48 207.79

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