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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 21, 2022
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   33 35 36 37 37 41 42 42 42 42 42
Closed Higher   18 24 21 18 14 21 21 18 21 27 32
Exceeded High   16 21 17 13 11 16 18 13 19 26 21
Scenario Percentage   89% 88% 81% 72% 79% 76% 86% 72% 90% 96% 66%
Avg Max Increase   8.27% 8.69% 7.98% 7.56% 9.33% 11.46% 9.79% 12.48% 10.95% 12.22% 8.22%
Max Increase   22.79% 53.13% 27.06% 18.49% 21.26% 22.51% 27.16% 27.54% 26.61% 40.66% 27.15%
Avg Days To Max Increase   15 15 14 16 23 17 18 14 15 16 16
Avg Max Decline   -1.90% -1.10% -1.26% -1.42% -2.51% -2.11% -2.17% -1.88% -2.58% -2.71% -2.04%
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   9 8 9 4 10 6 10 5 7 5 4
2021 Contract Condition   Yes Yes Yes     Yes Yes Yes Yes   Yes
Action   Yes Yes No     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   33 35 36 37 37 41 42 42 42 42 42
Closed Lower   15 11 15 19 23 20 21 24 21 15 10
Penetrated Low   11 8 9 16 20 17 15 16 15 12 5
Scenario Percentage   73% 73% 60% 84% 87% 85% 71% 67% 71% 80% 50%
Avg Max Decline   6.77% 8.36% 12.55% 10.86% 13.71% 14.08% 15.28% 14.22% 10.36% 10.36% 5.57%
Max Decline   25.78% 23.19% 38.38% 41.24% 39.69% 36.31% 38.28% 41.45% 54.35% 33.92% 8.78%
Avg Days To Max Decline   15 17 19 16 19 20 19 15 13 14 11
Avg Max Increase   -2.77% -2.26% -2.32% -1.93% -2.13% -2.31% -3.91% -2.55% -2.49% -4.49% -1.27%
Max Increase   -7.73% -8.83% -12.29% -7.00% -6.14% -8.57% -11.53% -7.28% -10.34% -14.01% -5.13%
Avg Days to Max Increase   10 10 15 8 5 9 9 7 11 11 2
2021 Contract Condition         Yes Yes         Yes  
Action         Yes Yes         No  
High 124.65 135.46 136.88 140.59 136.29 127.65 142.32 151.86 162.60 189.53 197.92 197.56
Low 108.01 121.17 128.18 132.02 119.02 111.54 108.84 136.81 146.09 157.83 173.44 175.16
Close/Last 123.77 129.49 132.92 134.12 123.15 114.35 139.99 149.05 159.08 182.89 177.28 192.24

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