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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December NY Harbor ULSD(NYM) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   30 32 33 35 37 37 37 37 37 37 37
Closed Higher   14 16 17 24 22 17 18 23 20 21 14
Exceeded High   13 13 16 23 16 13 17 19 18 18 9
Scenario Percentage   93% 81% 94% 96% 73% 76% 94% 83% 90% 86% 64%
Avg Max Increase   8.18% 10.52% 10.34% 9.96% 8.13% 9.36% 10.64% 13.48% 10.16% 8.08% 7.11%
Max Increase   21.40% 28.35% 23.37% 42.04% 28.68% 24.91% 24.98% 74.87% 38.50% 21.61% 18.25%
Avg Days To Max Increase   15 14 14 16 17 15 18 17 14 13 17
Avg Max Decline   -1.54% -1.52% -1.82% -1.78% -2.03% -1.52% -3.11% -2.10% -2.88% -3.06% -1.59%
Max Decline   -6.64% -5.08% -12.74% -7.19% -11.13% -5.77% -15.93% -8.30% -14.50% -13.85% -2.99%
Avg Days to Max Decline   9 6 8 5 8 5 12 8 7 5 3
2015 Contract Condition       Yes   Yes       Yes    
Action       Yes   Yes       No    
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   30 32 33 35 37 37 37 37 37 37 37
Closed Lower   16 16 16 11 15 20 19 14 17 16 23
Penetrated Low   12 10 10 7 8 14 15 8 12 14 17
Scenario Percentage   75% 63% 63% 64% 53% 70% 79% 57% 71% 88% 74%
Avg Max Decline   10.07% 10.44% 5.79% 6.37% 7.37% 8.02% 9.16% 10.15% 12.01% 11.46% 9.83%
Max Decline   22.42% 34.29% 19.09% 14.29% 20.65% 18.72% 27.10% 24.22% 41.23% 43.86% 21.31%
Avg Days To Max Decline   18 15 9 10 17 18 18 19 16 14 18
Avg Max Increase   -4.13% -1.46% -1.76% -2.18% -3.56% -1.04% -2.03% -3.82% -1.99% -4.00% -2.22%
Max Increase   -9.89% -6.11% -10.40% -5.43% -6.95% -6.42% -7.66% -19.25% -5.86% -20.44% -6.10%
Avg Days to Max Increase   9 4 9 2 17 4 9 17 12 8 4
2015 Contract Condition   Yes Yes   Yes   Yes Yes Yes   Yes Yes
Action   Yes No   No   Yes Yes Yes   Yes Yes
High 255.34 227.21 192.92 202.75 202.80 205.03 211.88 202.41 194.90 173.86 170.68 166.43
Low 219.64 187.29 169.62 177.85 176.53 179.39 191.19 189.29 163.34 142.71 152.10 142.97
Close/Last 220.50 191.44 181.47 202.30 182.86 204.85 200.97 195.77 164.48 173.54 155.68 151.67

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