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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October NY Harbor ULSD(NYM) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   25 28 30 32 32 33 33 35 35 35 35
Closed Higher   11 14 14 15 16 23 21 16 17 22 18
Exceeded High   7 11 13 11 15 22 16 13 16 18 15
Scenario Percentage   64% 79% 93% 73% 94% 96% 76% 81% 94% 82% 83%
Avg Max Increase   6.52% 8.28% 8.31% 12.09% 11.06% 10.43% 8.47% 9.46% 11.54% 15.42% 9.23%
Max Increase   10.87% 18.00% 18.64% 28.21% 23.24% 41.86% 27.24% 23.89% 26.34% 79.92% 40.09%
Avg Days To Max Increase   25 16 16 13 13 16 16 16 18 15 19
Avg Max Decline   -1.92% -1.42% -1.37% -1.33% -1.00% -2.36% -2.40% -2.10% -3.46% -1.74% -1.53%
Max Decline   -2.90% -7.43% -7.00% -4.92% -4.83% -9.29% -13.06% -6.25% -16.96% -8.90% -7.16%
Avg Days to Max Decline   7 8 9 5 8 5 8 8 12 5 4
2014 Contract Condition   Yes Yes Yes   Yes       Yes    
Action   Yes Yes No   Yes       No    
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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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   25 28 30 32 32 33 33 35 35 35 35
Closed Lower   14 14 16 17 16 10 12 18 18 13 17
Penetrated Low   12 10 11 12 11 8 7 12 14 9 9
Scenario Percentage   86% 71% 69% 71% 69% 80% 58% 67% 78% 69% 53%
Avg Max Decline   9.57% 10.95% 12.96% 11.55% 6.03% 6.80% 8.27% 7.68% 7.31% 10.07% 8.44%
Max Decline   36.46% 25.20% 34.01% 34.78% 19.48% 14.91% 20.97% 15.09% 19.21% 23.53% 19.20%
Avg Days To Max Decline   18 20 18 15 10 14 14 15 19 18 20
Avg Max Increase   -1.95% -0.91% -3.76% -0.83% -2.07% -2.46% -3.27% -1.61% -3.24% -4.44% -1.81%
Max Increase   -5.11% -5.77% -9.83% -6.11% -9.26% -5.66% -7.19% -7.37% -8.21% -21.03% -3.28%
Avg Days to Max Increase   5 6 9 3 9 8 12 4 13 11 8
2014 Contract Condition         Yes   Yes Yes Yes   Yes Yes
Action         No   Yes No Yes   Yes Yes
High 299.45 296.34 297.15 302.85 296.42 300.26 300.37 299.88 296.48 309.02 300.19 292.28
Low 285.45 284.50 283.10 292.53 285.43 286.09 286.98 284.28 288.18 286.67 285.59 280.80
Close/Last 287.95 290.29 296.11 299.99 287.86 295.27 292.19 291.92 290.37 299.48 289.88 286.01

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