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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 Nov 09, 2020
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   32 35 37 37 39 40 41 41 41 41 41
Closed Higher   23 20 20 15 20 17 17 20 27 29 21
Exceeded High   19 17 15 12 16 15 13 18 26 24 12
Scenario Percentage   83% 85% 75% 80% 80% 88% 76% 90% 96% 83% 57%
Avg Max Increase   8.72% 7.39% 8.06% 9.15% 9.88% 8.84% 10.39% 10.57% 11.66% 9.27% 9.68%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 21.36% 27.58% 25.97% 41.58% 29.68% 19.86%
Avg Days To Max Increase   15 15 16 22 15 16 13 15 16 15 17
Avg Max Decline   -0.92% -1.11% -1.67% -2.17% -1.49% -1.94% -1.62% -2.17% -2.49% -3.04% -1.71%
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
2020 Contract Condition   Yes   Yes   Yes Yes         Yes
Action   No   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   32 35 37 37 39 40 41 41 41 41 41
Closed Lower   9 15 17 22 19 22 24 21 14 12 20
Penetrated Low   7 9 14 19 16 17 15 14 12 8 16
Scenario Percentage   78% 60% 82% 86% 84% 77% 63% 67% 86% 67% 80%
Avg Max Decline   9.06% 12.21% 10.40% 14.23% 15.71% 14.13% 13.80% 9.75% 10.19% 8.68% 6.04%
Max Decline   22.93% 37.63% 40.47% 38.60% 35.38% 38.04% 40.09% 49.67% 28.57% 21.22% 12.36%
Avg Days To Max Decline   19 19 15 19 19 19 16 14 16 16 13
Avg Max Increase   -1.62% -2.08% -1.67% -1.93% -1.89% -3.38% -2.46% -2.68% -4.26% -4.12% -1.61%
Max Increase   -8.51% -11.01% -6.51% -5.82% -7.39% -11.13% -6.56% -11.47% -14.10% -8.06% -8.98%
Avg Days to Max Increase   14 16 7 6 9 8 7 11 9 17 3
2020 Contract Condition     Yes   Yes     Yes Yes Yes Yes  
Action     No   No     Yes Yes Yes No  
High 194.83 197.22 190.35 196.08 188.56 190.28 201.51 207.00 171.44 157.01 118.84 107.12
Low 176.88 184.43 173.48 174.15 174.32 179.98 182.28 164.00 144.71 98.78 74.39 82.66
Close/Last 191.79 192.20 178.79 180.02 179.80 182.64 196.55 164.89 147.80 104.15 88.45 103.66

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