MRCI's ScenarioSM Study

ScenarioSM Study for December NY Harbor ULSD(NYM) as of Dec 30, 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		31	33	34	36	38	38	38	38	38	38	38
Closed Higher		14	16	17	25	23	18	19	23	21	22	14
Exceeded High		13	13	16	24	17	14	17	19	19	19	9
Scenario Percentage		93%	81%	94%	96%	74%	78%	89%	83%	90%	86%	64%
Avg Max Increase		8.18%	10.52%	10.34%	10.37%	8.28%	9.02%	10.64%	13.48%	10.26%	7.97%	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	17	17	15	18	17	13	13	17
Avg Max Decline		-1.54%	-1.52%	-1.82%	-2.04%	-2.28%	-1.54%	-3.11%	-2.10%	-2.95%	-2.94%	-1.59%
Max Decline		-6.64%	-5.08%	-12.74%	-8.02%	-11.13%	-5.77%	-15.93%	-8.30%	-14.50%	-13.85%	-2.99%
Avg Days to Max Decline		9	6	8	5	8	4	12	8	8	5	3
2016 Contract Condition				Yes	Yes	Yes	Yes	Yes		Yes	Yes
Action				Yes	Yes	Yes	Yes	No		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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		31	33	34	36	38	38	38	38	38	38	38
Closed Lower		17	17	17	11	15	20	19	15	17	16	24
Penetrated Low		13	10	10	7	8	14	15	9	12	14	18
Scenario Percentage		76%	59%	59%	64%	53%	70%	79%	60%	71%	88%	75%
Avg Max Decline		11.03%	10.44%	5.79%	6.37%	7.37%	8.02%	9.16%	9.52%	12.01%	11.46%	9.77%
Max Decline		22.55%	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	17	16	14	18
Avg Max Increase		-4.04%	-1.46%	-1.76%	-2.18%	-3.56%	-1.04%	-2.03%	-3.45%	-1.99%	-4.00%	-2.37%
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	15	12	8	4
2016 Contract Condition		Yes	Yes						Yes			Yes
Action		Yes	No						Yes			Yes
High	174.27	159.45	139.12	128.96	139.20	150.02	158.57	163.16	159.55	158.02	154.99	164.00
Low	154.53	133.25	104.59	114.28	125.44	121.80	138.37	148.50	134.86	131.24	140.15	150.24
Close/Last	154.64	135.04	126.20	126.96	132.42	147.49	155.81	155.84	137.35	146.15	154.83	150.39