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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 Sep 16, 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   34 37 37 38 39 40 41 43 43 43 43
Closed Higher   19 17 16 18 19 18 21 28 29 23 22
Exceeded High   14 14 10 15 17 14 19 27 23 17 18
Scenario Percentage   74% 82% 63% 83% 89% 78% 90% 96% 79% 74% 82%
Avg Max Increase   7.77% 7.17% 9.07% 9.70% 10.36% 13.83% 11.83% 12.13% 10.73% 11.07% 6.02%
Max Increase   25.68% 17.53% 19.33% 18.14% 25.47% 42.54% 33.63% 41.95% 30.49% 24.23% 12.36%
Avg Days To Max Increase   15 15 26 17 17 11 16 17 16 16 14
Avg Max Decline   -1.46% -1.69% -2.45% -1.20% -1.81% -1.41% -2.02% -2.64% -2.92% -2.82% -1.72%
Max Decline   -4.78% -8.34% -4.20% -7.91% -7.49% -6.01% -13.58% -9.65% -15.01% -10.81% -3.73%
Avg Days to Max Decline   9 4 12 6 8 4 9 8 8 7 4
2022 Contract Condition     Yes Yes   Yes Yes Yes Yes Yes Yes  
Action     Yes No   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   34 37 37 38 39 40 41 43 43 43 43
Closed Lower   15 20 21 20 20 22 20 15 14 20 21
Penetrated Low   9 17 18 16 14 14 12 12 9 15 14
Scenario Percentage   60% 85% 86% 80% 70% 64% 60% 80% 64% 75% 67%
Avg Max Decline   12.11% 9.83% 12.89% 14.25% 14.94% 13.89% 10.46% 9.59% 8.80% 8.43% 8.29%
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 18 18 15 15 16 16 15 16
Avg Max Increase   -1.98% -1.59% -1.94% -1.62% -3.51% -1.73% -2.44% -4.06% -4.28% -2.01% -1.89%
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 6 7 5 12 13 17 9 3
2022 Contract Condition   Yes     Yes             Yes
Action   No     Yes             Yes
High 211.94 206.96 223.90 242.13 234.55 231.16 255.01 282.04 359.50 360.45 405.47 448.98
Low 192.78 185.25 203.84 221.30 196.90 195.70 224.02 248.80 270.80 296.59 335.78 374.48
Close/Last 211.94 204.84 221.72 230.88 200.30 224.78 252.21 269.73 303.90 350.89 384.69 383.05

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