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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   28 31 32 33 34 35 37 37 37 37 37
Closed Higher   12 15 14 14 15 18 25 24 18 18 20
Exceeded High   10 9 10 13 12 17 24 19 13 17 17
Scenario Percentage   83% 60% 71% 93% 80% 94% 96% 79% 72% 94% 85%
Avg Max Increase   6.81% 8.95% 9.30% 8.52% 11.56% 10.24% 10.37% 8.44% 10.08% 11.28% 11.74%
Max Increase   17.20% 18.97% 18.12% 19.08% 28.33% 22.76% 42.06% 27.26% 24.33% 26.28% 65.72%
Avg Days To Max Increase   14 26 18 15 12 15 17 16 16 17 16
Avg Max Decline   -1.23% -2.34% -1.58% -1.64% -1.50% -1.77% -2.56% -2.78% -2.50% -3.63% -0.92%
Max Decline   -7.03% -4.10% -7.77% -7.22% -5.82% -13.21% -9.53% -13.97% -6.75% -17.00% -4.44%
Avg Days to Max Decline   5 11 8 9 5 9 8 8 8 13 3
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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   28 31 32 33 34 35 37 37 37 37 37
Closed Lower   16 16 18 19 19 17 12 13 19 19 17
Penetrated Low   14 14 14 14 12 11 9 8 14 16 10
Scenario Percentage   88% 88% 78% 74% 63% 65% 75% 62% 74% 84% 59%
Avg Max Decline   10.14% 11.90% 15.03% 14.52% 11.76% 6.42% 7.36% 8.36% 8.49% 9.37% 6.60%
Max Decline   39.51% 36.96% 33.89% 35.34% 35.33% 20.48% 15.14% 21.18% 19.88% 27.82% 13.49%
Avg Days To Max Decline   18 18 20 18 14 11 18 16 17 15 13
Avg Max Increase   -1.56% -1.50% -1.07% -3.08% -1.28% -2.02% -2.19% -3.54% -1.77% -2.46% -1.57%
Max Increase   -6.62% -4.87% -6.03% -10.40% -6.27% -9.09% -5.78% -7.00% -7.54% -8.73% -6.50%
Avg Days to Max Increase   8 5 6 7 4 9 8 15 5 9 4
2016 Contract Condition   Yes   Yes Yes Yes         Yes Yes
Action   Yes   Yes Yes No         Yes Yes
High 180.20 175.29 175.01 168.62 153.67 132.65 122.39 134.23 144.88 154.96 159.85 154.44
Low 150.72 161.59 156.79 148.96 127.17 98.58 107.42 119.28 115.40 132.62 143.86 128.16
Close/Last 180.20 164.14 164.34 149.11 128.80 119.99 120.38 126.35 142.24 151.90 150.83 130.75

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