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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 Jan 01, 2019
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   30 33 34 35 36 37 39 39 39 39 39
Closed Higher   14 16 16 16 16 19 26 25 19 19 21
Exceeded High   12 10 12 15 12 17 25 20 13 18 18
Scenario Percentage   86% 63% 75% 94% 75% 89% 96% 80% 68% 95% 86%
Avg Max Increase   7.04% 8.81% 9.48% 7.83% 11.56% 10.24% 10.51% 8.38% 10.08% 10.76% 11.25%
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 18 17
Avg Max Decline   -1.28% -2.26% -1.37% -1.60% -1.50% -1.77% -2.60% -2.77% -2.50% -3.85% -1.26%
Max Decline   -7.03% -4.10% -7.77% -7.22% -5.82% -13.21% -9.53% -13.97% -6.75% -17.00% -7.11%
Avg Days to Max Decline   5 10 7 8 5 9 8 8 8 13 4
2018 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes Yes Yes  
Action   Yes Yes Yes Yes No   Yes Yes No 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   30 33 34 35 36 37 39 39 39 39 39
Closed Lower   16 17 18 19 20 18 13 14 20 20 18
Penetrated Low   14 15 14 14 13 11 10 9 15 16 10
Scenario Percentage   88% 88% 78% 74% 65% 61% 77% 64% 75% 80% 56%
Avg Max Decline   10.14% 11.56% 15.03% 14.52% 11.59% 6.42% 7.88% 8.63% 8.64% 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 15 11 16 16 17 15 13
Avg Max Increase   -1.56% -1.51% -1.07% -3.08% -1.39% -2.02% -2.55% -3.93% -1.74% -2.46% -1.57%
Max Increase   -6.62% -4.87% -6.03% -10.40% -6.27% -9.09% -5.78% -7.07% -7.54% -8.73% -6.50%
Avg Days to Max Increase   8 5 6 7 3 9 8 16 5 9 4
2018 Contract Condition             Yes         Yes
Action             No         Not Yet
High 165.66 175.71 183.53 190.47 196.80 205.57 204.24 204.74 216.18 229.73 222.50 223.88
Low 157.11 162.87 167.25 180.22 182.52 194.77 181.35 185.20 194.53 208.65 207.37 204.74
Close/Last 165.61 171.83 183.05 185.73 196.00 201.58 190.26 201.85 214.09 221.09 221.62 213.74

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