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