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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   31 34 36 36 38 39 40 40 40 40 40
Closed Higher   22 20 19 15 19 16 17 20 27 29 20
Exceeded High   19 17 15 12 15 14 13 18 26 24 11
Scenario Percentage   86% 85% 79% 80% 79% 88% 76% 90% 96% 83% 55%
Avg Max Increase   8.72% 7.39% 8.06% 9.15% 9.65% 9.09% 10.39% 10.57% 11.66% 9.11% 8.42%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 21.36% 27.58% 25.97% 41.58% 27.23% 16.25%
Avg Days To Max Increase   15 15 16 22 16 17 13 15 16 15 16
Avg Max Decline   -0.92% -1.11% -1.67% -2.17% -1.57% -1.91% -1.62% -2.17% -2.49% -3.04% -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   9 9 5 10 6 11 5 7 7 9 6
2019 Contract Condition     Yes Yes       Yes Yes   Yes  
Action     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   31 34 36 36 38 39 40 40 40 40 40
Closed Lower   9 14 17 21 19 22 23 20 13 11 20
Penetrated Low   7 9 14 19 16 17 14 13 11 8 16
Scenario Percentage   78% 64% 82% 90% 84% 77% 61% 65% 85% 73% 80%
Avg Max Decline   9.06% 12.21% 10.40% 14.23% 15.71% 14.13% 11.92% 6.68% 8.52% 8.68% 5.92%
Max Decline   22.93% 37.63% 40.47% 38.60% 35.38% 38.04% 35.18% 20.99% 15.36% 21.22% 11.07%
Avg Days To Max Decline   19 19 15 19 19 19 15 13 15 16 13
Avg Max Increase   -1.62% -2.08% -1.67% -1.93% -1.89% -3.38% -2.36% -2.40% -3.37% -4.12% -1.61%
Max Increase   -8.51% -11.01% -6.51% -5.82% -7.39% -11.13% -6.56% -11.47% -7.99% -8.06% -8.98%
Avg Days to Max Increase   14 16 7 6 9 8 6 11 10 17 3
2019 Contract Condition   Yes     Yes Yes Yes     Yes   Yes
Action   No     Yes Yes No     Yes   Yes
High 220.58 221.81 222.05 233.10 242.06 221.63 193.31 192.20 204.32 204.16 213.19 213.81
Low 207.22 205.82 205.94 216.19 220.95 178.83 162.83 164.37 186.78 194.49 197.95 182.74
Close/Last 219.72 212.93 220.73 232.05 221.85 182.15 167.57 187.73 202.16 197.99 208.17 184.04

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