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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 Jun 08, 2020
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   29 33 35 36 39 40 41 41 41 41 41
Closed Higher   15 16 17 20 27 26 19 20 24 23 25
Exceeded High   11 15 13 18 26 20 14 19 21 21 19
Scenario Percentage   73% 94% 76% 90% 96% 77% 74% 95% 88% 91% 76%
Avg Max Increase   8.76% 7.43% 10.90% 10.10% 12.25% 10.37% 8.89% 10.05% 13.53% 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 13 15 18 15 14 17 18 13 14
Avg Max Decline   -1.17% -1.30% -1.12% -2.05% -2.40% -2.19% -1.52% -3.49% -3.15% -2.99% -2.20%
Max Decline   -7.40% -6.74% -4.81% -12.84% -8.88% -11.99% -5.77% -16.48% -11.34% -15.12% -13.24%
Avg Days to Max Decline   8 8 4 9 7 8 7 11 9 8 3
2019 Contract Condition       Yes Yes   Yes   Yes Yes   Yes
Action       Yes Yes   No   Yes Yes   Not Yet
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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   29 33 35 36 39 40 41 41 41 41 41
Closed Lower   14 17 18 16 12 14 22 21 17 18 16
Penetrated Low   11 12 11 9 10 9 16 16 10 11 11
Scenario Percentage   79% 71% 61% 56% 83% 64% 73% 76% 59% 61% 69%
Avg Max Decline   12.38% 13.28% 10.33% 5.16% 7.24% 7.55% 8.15% 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   19 18 16 9 14 15 17 16 17 15 17
Avg Max Increase   -1.90% -3.48% -1.65% -1.37% -3.15% -3.89% -1.38% -2.12% -3.45% -2.04% -2.22%
Max Increase   -5.71% -10.05% -6.01% -5.12% -7.24% -7.55% -6.77% -7.93% -19.87% -6.87% -6.54%
Avg Days to Max Increase   6 7 5 9 10 15 4 9 11 12 6
2019 Contract Condition   Yes Yes     Yes   Yes     Yes  
Action   Yes No     Yes   Yes     No  
High 242.87 224.35 196.58 195.31 207.37 207.14 216.21 215.12 200.02 203.25 196.70 209.35
Low 223.56 183.15 166.94 169.19 190.43 198.18 202.00 185.48 177.47 187.16 175.54 178.06
Close/Last 224.37 185.97 172.03 191.38 205.50 201.61 211.32 186.73 195.89 197.99 183.96 189.72

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