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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, 2019
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   28 32 34 35 38 39 40 40 40 40 40
Closed Higher   15 16 16 19 27 25 19 19 23 23 24
Exceeded High   11 15 12 17 26 20 14 18 20 21 19
Scenario Percentage   73% 94% 75% 89% 96% 80% 74% 95% 87% 91% 79%
Avg Max Increase   8.76% 7.43% 11.11% 10.38% 12.25% 10.37% 8.89% 10.40% 13.92% 10.30% 5.22%
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   17 14 12 15 18 15 14 18 19 13 14
Avg Max Decline   -1.17% -1.30% -1.17% -1.96% -2.40% -2.19% -1.52% -3.49% -2.74% -2.99% -2.20%
Max Decline   -7.40% -6.74% -4.81% -12.84% -8.88% -11.99% -5.77% -16.48% -8.55% -15.12% -13.24%
Avg Days to Max Decline   8 8 5 9 7 8 7 12 10 8 3
2018 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes   Yes Yes
Action   Yes Yes No   Yes Yes No Yes   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   28 32 34 35 38 39 40 40 40 40 40
Closed Lower   13 16 18 16 11 14 21 21 17 17 16
Penetrated Low   10 12 11 9 9 9 15 16 10 11 11
Scenario Percentage   77% 75% 61% 56% 82% 64% 71% 76% 59% 65% 69%
Avg Max Decline   12.59% 13.28% 10.33% 5.16% 7.15% 7.55% 8.36% 9.81% 11.00% 12.92% 8.69%
Max Decline   32.82% 32.60% 34.45% 18.95% 14.57% 20.84% 19.14% 27.27% 23.89% 41.36% 34.78%
Avg Days To Max Decline   18 18 16 9 13 15 18 16 17 15 17
Avg Max Increase   -1.52% -3.48% -1.65% -1.37% -2.70% -3.89% -1.42% -2.12% -3.45% -2.04% -2.22%
Max Increase   -5.51% -10.05% -6.01% -5.12% -5.57% -7.55% -6.77% -7.93% -19.87% -6.87% -6.54%
Avg Days to Max Increase   6 7 5 9 9 15 5 9 11 12 6
2018 Contract Condition         Yes         Yes    
Action         No         No    
High 183.64 190.74 196.36 204.99 203.62 204.68 216.10 229.95 223.54 224.93 226.72 236.53
Low 168.20 180.59 183.04 194.47 181.83 185.50 194.85 208.95 208.37 206.10 208.39 219.41
Close/Last 183.31 186.17 195.57 201.14 190.34 201.86 214.08 221.41 222.78 215.06 224.60 234.85

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