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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August NY Harbor ULSD(NYM) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   26 29 29 30 31 32 33 35 35 35 35
Closed Higher   14 12 14 14 14 14 16 25 23 17 18
Exceeded High   11 10 9 11 12 11 15 24 17 12 15
Scenario Percentage   79% 83% 64% 79% 86% 79% 94% 96% 74% 71% 83%
Avg Max Increase   6.97% 7.01% 9.23% 8.76% 9.47% 10.82% 11.65% 10.68% 10.50% 11.02% 6.63%
Max Increase   25.68% 17.53% 19.33% 18.14% 19.50% 28.10% 23.37% 41.95% 30.49% 24.23% 13.78%
Avg Days To Max Increase   14 15 25 17 17 11 14 16 16 17 17
Avg Max Decline   -1.27% -2.04% -2.54% -1.47% -1.96% -1.55% -1.13% -2.34% -2.85% -2.79% -1.83%
Max Decline   -4.78% -8.34% -4.20% -7.91% -7.49% -6.01% -5.30% -9.65% -15.01% -7.23% -5.19%
Avg Days to Max Decline   10 5 13 7 10 4 8 8 8 8 4
2014 Contract Condition   Yes   Yes Yes Yes   Yes       Yes
Action   No   Yes Yes No   Yes       Not Yet
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   26 29 29 30 31 32 33 35 35 35 35
Closed Lower   12 17 15 16 17 18 17 10 12 18 17
Penetrated Low   8 14 13 12 12 12 11 9 8 13 11
Scenario Percentage   67% 82% 87% 75% 71% 67% 65% 90% 67% 72% 65%
Avg Max Decline   11.86% 9.07% 11.06% 12.98% 14.38% 12.15% 7.24% 7.71% 8.55% 7.83% 6.58%
Max Decline   37.28% 39.95% 37.73% 26.57% 36.41% 35.98% 20.69% 15.31% 21.32% 16.25% 19.71%
Avg Days To Max Decline   19 15 18 20 19 14 14 14 15 16 15
Avg Max Increase   -2.17% -1.24% -2.15% -0.85% -3.86% -1.47% -2.11% -2.34% -3.89% -2.23% -1.75%
Max Increase   -10.49% -5.00% -5.62% -6.30% -10.36% -6.18% -10.29% -5.92% -7.91% -8.30% -9.54%
Avg Days to Max Increase   13 9 8 8 8 4 13 11 16 10 3
2014 Contract Condition     Yes       Yes   Yes Yes Yes  
Action     Yes       No   Yes No Yes  
High 299.86 303.39 301.05 297.87 298.70 304.03 297.87 301.82 302.11 300.50 296.67 307.83
Low 283.34 286.23 285.72 285.33 283.19 292.84 285.78 286.74 286.95 284.20 288.00 285.38
Close/Last 295.65 297.80 288.65 291.27 297.25 301.15 288.69 296.29 292.33 292.10 289.36 297.53

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