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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, 2019
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   29 32 34 36 36 37 37 39 39 39 39
Closed Higher   13 16 16 16 18 25 24 18 18 23 22
Exceeded High   8 13 15 11 16 24 19 14 17 19 16
Scenario Percentage   62% 81% 94% 69% 89% 96% 79% 78% 94% 83% 73%
Avg Max Increase   6.62% 8.56% 7.64% 12.09% 10.48% 11.04% 8.30% 9.12% 10.97% 15.18% 8.94%
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 14 17 15 15 19 15 19
Avg Max Decline   -1.86% -1.16% -1.35% -1.33% -1.75% -2.66% -2.55% -2.08% -3.70% -2.01% -1.30%
Max Decline   -2.90% -7.43% -7.00% -4.92% -13.08% -9.29% -13.06% -6.25% -16.96% -8.90% -5.04%
Avg Days to Max Decline   6 7 8 5 9 5 8 7 12 6 4
2018 Contract Condition   Yes Yes Yes Yes   Yes Yes Yes Yes   Yes
Action   Yes Yes Yes No   Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 32 34 36 36 37 37 39 39 39 39
Closed Lower   16 16 18 20 18 12 13 20 21 16 17
Penetrated Low   14 12 13 13 11 9 8 14 16 11 9
Scenario Percentage   88% 75% 72% 65% 61% 75% 62% 70% 76% 69% 53%
Avg Max Decline   10.60% 13.89% 13.66% 11.37% 6.03% 7.39% 8.60% 8.74% 9.17% 9.87% 8.24%
Max Decline   36.46% 33.28% 34.01% 34.78% 19.48% 14.91% 20.97% 19.56% 27.66% 23.53% 19.20%
Avg Days To Max Decline   19 19 17 16 10 13 15 17 19 17 18
Avg Max Increase   -1.76% -1.26% -3.40% -0.96% -2.07% -2.80% -3.71% -1.49% -2.93% -3.72% -1.77%
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 5 8 3 9 9 13 4 12 10 6
2018 Contract Condition           Yes         Yes  
Action           No         No  
High 175.82 183.72 190.55 196.50 205.21 203.86 204.76 216.20 229.92 223.04 224.48 226.47
Low 163.52 167.42 180.39 182.75 194.54 181.71 185.37 194.71 208.84 207.89 205.41 208.05
Close/Last 172.12 183.11 185.91 195.69 201.29 190.34 201.90 214.14 221.32 222.25 214.53 224.31

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