MRCI's ScenarioSM Study

ScenarioSM Study for August 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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		33	36	36	37	38	39	40	42	42	42	42
Closed Higher		19	16	15	18	18	17	20	27	28	22	22
Exceeded High		14	13	10	15	16	13	18	26	22	16	19
Scenario Percentage		74%	81%	67%	83%	89%	76%	90%	96%	79%	73%	86%
Avg Max Increase		7.77%	7.01%	9.07%	9.70%	9.42%	11.63%	10.62%	11.31%	9.94%	10.81%	6.07%
Max Increase		25.68%	17.53%	19.33%	18.14%	25.33%	28.10%	23.37%	41.95%	30.49%	24.23%	12.36%
Avg Days To Max Increase		15	15	26	17	16	11	16	17	16	16	16
Avg Max Decline		-1.46%	-1.81%	-2.45%	-1.20%	-1.90%	-1.42%	-2.15%	-2.65%	-2.86%	-3.05%	-1.91%
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	8	4	9	8	7	8	4
2021 Contract Condition		Yes			Yes	Yes	Yes	Yes		Yes	Yes	Yes
Action		No			Yes	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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		33	36	36	37	38	39	40	42	42	42	42
Closed Lower		14	20	21	19	20	22	20	15	14	20	20
Penetrated Low		9	17	18	15	14	14	12	12	9	15	13
Scenario Percentage		64%	85%	86%	79%	70%	64%	60%	80%	64%	75%	65%
Avg Max Decline		12.11%	9.83%	12.89%	15.05%	14.94%	13.89%	10.46%	9.59%	8.80%	8.43%	8.02%
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	16	19	20	18	15	15	16	16	15	17
Avg Max Increase		-1.98%	-1.59%	-1.94%	-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
2021 Contract Condition			Yes	Yes					Yes
Action			Yes	Yes					No
High	138.46	142.77	138.94	129.45	143.40	152.67	162.89	188.14	197.28	197.87	207.78	219.16
Low	132.56	136.77	122.30	115.00	112.30	138.56	147.40	158.49	174.01	175.80	191.18	203.91
Close/Last	135.60	137.06	126.20	116.97	141.56	150.12	159.64	182.27	177.94	192.65	203.94	212.83