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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   24 28 30 31 34 35 36 36 36 36 36
Closed Higher   13 14 15 17 25 22 17 18 22 19 21
Exceeded High   9 13 12 16 24 17 13 17 19 18 16
Scenario Percentage   69% 93% 80% 94% 96% 77% 76% 94% 86% 95% 76%
Avg Max Increase   8.52% 8.08% 11.11% 10.93% 11.83% 10.96% 9.25% 10.91% 14.06% 10.29% 5.32%
Max Increase   17.86% 18.20% 28.01% 23.28% 51.12% 53.09% 23.81% 24.96% 76.22% 39.38% 15.65%
Avg Days To Max Increase   18 15 12 14 18 16 15 17 18 13 14
Avg Max Decline   -1.52% -1.30% -1.17% -1.28% -2.12% -2.00% -1.50% -3.26% -2.54% -3.00% -2.25%
Max Decline   -7.40% -6.74% -4.81% -5.33% -8.88% -11.99% -5.77% -16.48% -8.55% -15.12% -13.24%
Avg Days to Max Decline   9 9 5 8 7 8 8 11 9 8 3
2014 Contract Condition   Yes Yes   Yes       Yes      
Action   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   24 28 30 31 34 35 36 36 36 36 36
Closed Lower   11 14 15 14 9 13 19 18 14 17 15
Penetrated Low   8 10 10 9 8 8 13 14 8 11 10
Scenario Percentage   73% 71% 67% 64% 89% 62% 68% 78% 57% 65% 67%
Avg Max Decline   8.71% 12.49% 10.47% 5.16% 6.53% 7.15% 7.37% 8.11% 11.54% 12.92% 8.72%
Max Decline   25.03% 32.60% 34.45% 18.95% 14.57% 20.84% 14.27% 19.18% 23.89% 41.36% 34.78%
Avg Days To Max Decline   19 18 15 9 14 15 17 17 18 15 17
Avg Max Increase   -1.17% -3.95% -1.56% -1.37% -2.34% -3.56% -1.51% -2.30% -4.25% -2.04% -1.79%
Max Increase   -5.51% -10.05% -6.01% -5.12% -5.55% -7.55% -6.77% -7.93% -19.87% -6.87% -3.89%
Avg Days to Max Increase   7 8 5 9 8 14 5 10 12 12 5
2014 Contract Condition       Yes   Yes Yes Yes   Yes Yes Yes
Action       No   Yes No Yes   Yes Yes Yes
High 295.63 296.64 302.07 295.85 299.72 299.97 299.46 296.42 309.39 300.93 292.88 287.83
Low 284.61 283.39 292.00 284.73 285.75 287.00 284.50 288.05 287.40 287.11 281.57 263.78
Close/Last 289.93 295.64 299.31 287.46 294.76 291.96 291.76 290.67 300.36 290.82 286.66 265.05

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