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