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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 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   32 35 35 36 37 38 39 41 41 41 41
Closed Higher   18 16 15 17 17 16 19 27 27 21 21
Exceeded High   14 13 10 14 15 12 17 26 21 15 18
Scenario Percentage   78% 81% 67% 82% 88% 75% 89% 96% 78% 71% 86%
Avg Max Increase   7.77% 7.01% 9.07% 9.31% 8.36% 10.63% 10.74% 11.31% 9.76% 11.07% 6.30%
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   15 15 26 16 16 12 15 17 15 17 17
Avg Max Decline   -1.46% -1.81% -2.45% -1.13% -1.90% -1.47% -2.01% -2.65% -2.95% -3.25% -1.93%
Max Decline   -4.78% -8.34% -4.20% -7.91% -7.49% -6.01% -13.58% -9.65% -15.01% -10.81% -5.19%
Avg Days to Max Decline   9 5 12 6 9 4 9 8 8 8 4
2020 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   32 35 35 36 37 38 39 41 41 41 41
Closed Lower   14 19 20 19 20 22 20 14 14 20 20
Penetrated Low   9 16 17 15 14 14 12 12 9 15 13
Scenario Percentage   64% 84% 85% 79% 70% 64% 60% 86% 64% 75% 65%
Avg Max Decline   12.11% 9.76% 13.42% 15.05% 14.94% 13.89% 10.46% 9.59% 8.80% 8.47% 8.06%
Max Decline   37.28% 39.95% 37.73% 34.53% 36.41% 38.82% 45.89% 25.01% 21.32% 19.78% 19.71%
Avg Days To Max Decline   19 17 20 20 18 15 15 16 16 16 17
Avg Max Increase   -1.98% -1.52% -1.93% -1.47% -3.51% -1.73% -2.44% -4.06% -4.28% -2.01% -1.64%
Max Increase   -10.49% -6.12% -5.62% -6.30% -10.36% -6.18% -10.29% -14.23% -7.91% -8.30% -9.54%
Avg Days to Max Increase   12 8 6 7 7 5 12 13 17 9 3
2020 Contract Condition   Yes   Yes     Yes Yes Yes Yes    
Action   No   No     Yes Yes Yes No    
High 196.79 186.50 195.40 188.40 190.30 200.93 206.00 172.04 157.77 122.67 110.18 125.34
Low 184.62 174.01 174.39 174.56 181.08 182.28 164.78 145.96 101.33 80.53 86.88 104.24
Close/Last 192.26 179.00 180.01 179.82 182.49 196.06 165.62 148.84 107.39 92.54 106.96 118.65

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