MRCI's ScenarioSM Study

ScenarioSM Study for July 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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		33	36	38	38	40	41	42	42	42	42	42
Closed Higher		24	21	20	15	21	18	18	21	27	30	22
Exceeded High		20	17	15	12	17	16	14	19	26	25	13
Scenario Percentage		83%	81%	75%	80%	81%	89%	78%	90%	96%	83%	59%
Avg Max Increase		8.56%	7.39%	8.06%	9.15%	10.22%	9.93%	11.36%	10.45%	11.66%	9.45%	9.50%
Max Increase		51.79%	26.41%	26.16%	20.60%	19.67%	26.27%	27.58%	25.97%	41.58%	29.68%	19.86%
Avg Days To Max Increase		15	15	16	22	16	17	13	16	16	15	18
Avg Max Decline		-0.87%	-1.11%	-1.67%	-2.17%	-1.53%	-1.94%	-1.55%	-2.31%	-2.49%	-2.94%	-1.58%
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	10	6	11	4	8	7	8	5
2021 Contract Condition		Yes	Yes			Yes	Yes	Yes	Yes		Yes	Yes
Action		Yes	No			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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		33	36	38	38	40	41	42	42	42	42	42
Closed Lower		9	15	18	23	19	22	24	21	15	12	20
Penetrated Low		7	9	15	20	16	17	15	14	12	8	16
Scenario Percentage		78%	60%	83%	87%	84%	77%	63%	67%	80%	67%	80%
Avg Max Decline		9.06%	12.21%	10.44%	13.72%	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	14	18	19	19	16	14	16	16	13
Avg Max Increase		-1.62%	-2.08%	-1.77%	-1.97%	-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	5	9	8	7	11	9	17	3
2021 Contract Condition				Yes	Yes					Yes
Action				Yes	Yes					No
High	135.10	137.19	141.78	137.83	128.80	142.73	152.23	162.73	188.90	197.57	197.72	207.77
Low	123.51	130.52	134.19	120.81	113.13	111.00	137.68	146.75	158.12	173.67	175.45	191.00
Close/Last	130.73	134.30	135.63	124.75	115.69	140.74	149.60	159.31	182.50	177.61	192.44	203.83