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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 27, 2023
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   35 38 39 40 41 42 44 44 44 44 44
Closed Higher   17 18 19 19 19 22 27 28 22 23 25
Exceeded High   14 11 14 18 15 20 26 22 16 22 20
Scenario Percentage   82% 61% 74% 95% 79% 91% 96% 79% 73% 96% 80%
Avg Max Increase   6.99% 8.56% 10.05% 9.59% 13.96% 10.95% 11.36% 9.51% 10.83% 11.21% 11.04%
Max Increase   17.20% 18.97% 18.12% 25.49% 39.15% 30.75% 42.06% 27.89% 24.33% 36.67% 65.72%
Avg Days To Max Increase   14 24 18 15 12 16 18 16 16 17 17
Avg Max Decline   -1.08% -2.00% -1.33% -1.59% -1.37% -1.85% -2.56% -2.70% -2.14% -3.63% -1.27%
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   4 9 7 8 4 9 8 8 6 13 4
2023 Contract Condition     Yes Yes             Yes Yes
Action     Yes No             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   35 38 39 40 41 42 44 44 44 44 44
Closed Lower   18 20 20 21 22 20 17 16 22 21 19
Penetrated Low   15 17 16 15 15 13 13 10 16 17 11
Scenario Percentage   83% 85% 80% 71% 68% 65% 76% 63% 73% 81% 58%
Avg Max Decline   10.19% 11.95% 13.93% 14.32% 13.63% 9.69% 9.52% 8.68% 8.43% 9.79% 7.04%
Max Decline   39.51% 36.96% 33.89% 35.34% 37.52% 43.02% 22.80% 21.18% 19.88% 27.82% 13.49%
Avg Days To Max Decline   17 17 19 17 16 14 17 15 16 15 13
Avg Max Increase   -1.62% -1.46% -1.54% -3.10% -1.48% -2.41% -3.98% -3.59% -1.68% -2.60% -1.45%
Max Increase   -6.62% -4.87% -6.03% -10.40% -6.27% -9.09% -14.30% -7.07% -7.54% -8.73% -6.50%
Avg Days to Max Increase   8 4 6 8 4 8 8 15 5 9 4
2023 Contract Condition   Yes     Yes Yes Yes Yes Yes Yes    
Action   No     Yes Yes Yes Yes Yes No    
High 318.44 299.69 306.72 308.51 295.10 297.94 284.19 276.57 266.18 242.59 249.43 300.54
Low 282.67 266.62 277.55 275.43 259.17 265.60 255.02 237.26 234.82 218.28 224.78 237.31
Close/Last 296.95 271.85 290.76 293.81 288.22 283.40 267.91 254.74 240.21 226.21 244.20 298.55

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