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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 Dec 06, 2024
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   36 39 41 41 43 44 45 45 45 45 45
Closed Higher   26 22 22 17 22 19 20 22 29 31 23
Exceeded High   22 18 16 13 17 17 16 20 28 26 14
Scenario Percentage   85% 82% 73% 76% 77% 89% 80% 91% 97% 84% 61%
Avg Max Increase   8.44% 7.35% 8.15% 8.94% 10.22% 10.90% 13.33% 11.91% 12.25% 9.92% 9.85%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 26.45% 48.59% 39.70% 41.58% 27.23% 19.86%
Avg Days To Max Increase   15 15 16 20 16 17 13 16 16 15 17
Avg Max Decline   -1.41% -1.03% -1.60% -1.98% -1.53% -1.85% -1.70% -2.17% -2.49% -3.11% -1.41%
Max Decline   -12.60% -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 9 6 10 4 8 7 9 5
2024 Contract Condition   Yes Yes Yes       Yes   Yes    
Action   Yes Yes No       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   36 39 41 41 43 44 45 45 45 45 45
Closed Lower   10 17 19 24 21 24 25 23 16 14 22
Penetrated Low   8 10 15 21 18 18 16 15 13 10 17
Scenario Percentage   80% 59% 79% 88% 86% 75% 64% 65% 81% 71% 77%
Avg Max Decline   9.45% 12.15% 10.44% 13.59% 14.58% 14.03% 14.01% 10.00% 10.61% 9.01% 5.88%
Max Decline   22.93% 37.63% 40.47% 38.60% 35.38% 38.04% 40.09% 49.67% 28.57% 21.22% 11.07%
Avg Days To Max Decline   20 20 14 18 18 18 16 15 15 13 12
Avg Max Increase   -2.36% -1.98% -1.77% -2.02% -1.93% -3.41% -2.33% -2.73% -4.31% -3.38% -1.56%
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   15 15 7 5 8 8 7 11 9 13 3
2024 Contract Condition         Yes Yes Yes   Yes   Yes Yes
Action         Yes Yes No   No   Yes Yes
High 235.29 263.92 272.90 285.94 278.59 272.00 258.12 260.54 266.92 271.52 277.34 254.15
Low 221.51 228.36 260.64 268.69 253.12 249.00 235.25 236.65 246.07 250.56 250.19 237.07
Close/Last 233.22 263.00 268.11 274.57 264.04 256.93 239.35 256.82 254.09 261.85 253.86 238.42

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