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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 Dec 30, 2016
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   28 31 31 32 33 34 35 37 37 37 37
Closed Higher   15 12 14 14 14 14 17 26 25 18 18
Exceeded High   11 10 9 11 12 11 16 25 19 13 14
Scenario Percentage   73% 83% 64% 79% 86% 79% 94% 96% 76% 72% 78%
Avg Max Increase   6.97% 7.01% 9.23% 8.76% 9.47% 10.82% 11.07% 11.21% 10.27% 10.37% 6.47%
Max Increase   25.68% 17.53% 19.33% 18.14% 19.50% 28.10% 23.37% 41.95% 30.49% 24.23% 12.36%
Avg Days To Max Increase   14 15 25 17 17 11 15 17 15 15 15
Avg Max Decline   -1.27% -2.04% -2.54% -1.47% -1.96% -1.55% -1.90% -2.61% -2.99% -2.73% -1.59%
Max Decline   -4.78% -8.34% -4.20% -7.91% -7.49% -6.01% -13.58% -9.65% -15.01% -7.23% -3.73%
Avg Days to Max Decline   10 5 13 7 10 4 9 8 8 8 4
2016 Contract Condition   Yes           Yes Yes Yes Yes  
Action   No           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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   28 31 31 32 33 34 35 37 37 37 37
Closed Lower   13 19 17 18 19 20 18 11 12 19 19
Penetrated Low   9 16 15 14 14 12 11 9 8 14 13
Scenario Percentage   69% 84% 88% 78% 74% 60% 61% 82% 67% 74% 68%
Avg Max Decline   12.11% 9.76% 12.99% 15.39% 14.94% 12.15% 7.24% 7.71% 8.55% 8.65% 7.96%
Max Decline   37.28% 39.95% 37.73% 34.53% 36.41% 35.98% 20.69% 15.31% 21.32% 19.78% 19.71%
Avg Days To Max Decline   19 17 20 19 18 14 14 14 15 16 17
Avg Max Increase   -1.98% -1.52% -2.06% -1.14% -3.51% -1.47% -2.11% -2.34% -3.89% -2.09% -1.64%
Max Increase   -10.49% -6.12% -5.62% -6.30% -10.36% -6.18% -10.29% -5.92% -7.91% -8.30% -9.54%
Avg Days to Max Increase   12 8 7 7 7 4 13 11 16 9 3
2016 Contract Condition     Yes Yes Yes Yes Yes         Yes
Action     Yes Yes Yes Yes No         Yes
High 195.09 178.67 173.14 172.70 166.80 151.23 130.10 120.40 132.34 143.42 153.77 158.76
Low 171.50 149.11 160.12 155.08 147.29 124.99 96.43 105.43 116.84 112.98 130.64 142.47
Close/Last 171.68 178.67 162.74 162.59 147.29 126.57 117.95 117.99 124.15 140.58 150.58 148.87

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