MRCI's ScenarioSM Study

ScenarioSM Study for July NY Harbor ULSD(NYM) as of Dec 30, 2016
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		28	31	33	33	35	36	37	37	37	37	37
Closed Higher		21	17	16	14	17	14	15	18	26	27	18
Exceeded High		18	14	12	11	13	12	12	17	25	22	11
Scenario Percentage		86%	82%	75%	79%	76%	86%	80%	94%	96%	81%	61%
Avg Max Increase		8.80%	6.66%	8.31%	9.26%	9.46%	10.05%	10.51%	10.87%	11.57%	9.66%	8.76%
Max Increase		51.79%	26.41%	26.16%	20.60%	19.67%	21.36%	27.58%	25.97%	41.58%	29.68%	17.24%
Avg Days To Max Increase		15	14	16	21	16	17	12	14	16	15	17
Avg Max Decline		-0.70%	-0.84%	-1.83%	-2.22%	-1.84%	-1.98%	-1.71%	-2.07%	-2.45%	-3.07%	-1.62%
Max Decline		-7.21%	-6.28%	-8.40%	-4.74%	-8.27%	-7.42%	-6.29%	-13.94%	-9.33%	-16.05%	-7.53%
Avg Days to Max Decline		8	9	5	11	7	13	5	7	7	9	6
2016 Contract Condition			Yes							Yes	Yes	Yes
Action			No							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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		28	31	33	33	35	36	37	37	37	37	37
Closed Lower		7	14	17	19	18	21	22	19	11	10	19
Penetrated Low		6	9	14	17	15	17	13	13	9	7	15
Scenario Percentage		86%	64%	82%	89%	83%	81%	59%	68%	82%	70%	79%
Avg Max Decline		10.01%	12.21%	10.40%	13.91%	16.05%	14.13%	12.08%	6.68%	8.12%	8.40%	6.07%
Max Decline		22.93%	37.63%	40.47%	38.60%	35.38%	38.04%	35.18%	20.99%	15.36%	21.22%	12.36%
Avg Days To Max Decline		22	19	15	19	19	19	15	13	14	15	14
Avg Max Increase		-2.16%	-2.08%	-1.67%	-2.03%	-1.61%	-3.38%	-2.30%	-2.40%	-2.58%	-3.62%	-1.66%
Max Increase		-8.51%	-11.01%	-6.51%	-5.82%	-7.39%	-11.13%	-6.56%	-11.47%	-5.99%	-8.06%	-8.98%
Avg Days to Max Increase		16	16	7	6	9	8	7	11	6	15	4
2016 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes		Yes	Yes	Yes	Yes	No	No
High	203.46	194.10	177.41	172.40	171.97	165.20	149.47	128.17	118.25	130.77	142.35	153.03
Low	192.00	169.40	147.54	158.85	153.23	145.56	122.56	94.06	103.12	114.53	110.75	129.12
Close/Last	197.21	170.03	177.41	161.46	161.00	145.56	124.17	115.82	115.68	122.15	139.43	149.71