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