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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, 2018
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   32 34 35 37 39 39 39 39 39 39 39
Closed Higher   15 16 18 25 23 18 19 24 22 23 15
Exceeded High   14 13 16 24 17 14 17 20 20 20 10
Scenario Percentage   93% 81% 89% 96% 74% 78% 89% 83% 91% 87% 67%
Avg Max Increase   7.73% 10.52% 10.34% 10.37% 8.28% 9.02% 10.64% 13.35% 10.30% 8.00% 6.83%
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   14 14 14 17 17 15 18 18 14 13 18
Avg Max Decline   -1.57% -1.52% -1.82% -2.04% -2.28% -1.54% -3.11% -2.32% -2.90% -3.03% -1.66%
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 7 5 3
2017 Contract Condition   Yes   Yes         Yes Yes Yes Yes
Action   Yes   No         Yes 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   32 34 35 37 39 39 39 39 39 39 39
Closed Lower   17 18 17 12 16 21 20 15 17 16 24
Penetrated Low   13 11 10 8 9 15 15 9 12 14 18
Scenario Percentage   76% 61% 59% 67% 56% 71% 75% 60% 71% 88% 75%
Avg Max Decline   11.03% 10.32% 5.79% 7.08% 7.71% 8.17% 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 16 9 9 18 18 18 17 16 14 18
Avg Max Increase   -4.04% -1.57% -1.76% -2.62% -3.87% -1.05% -2.03% -3.45% -1.99% -4.00% -2.37%
Max Increase   -9.89% -6.11% -10.40% -5.70% -6.95% -6.42% -7.66% -19.25% -5.86% -20.44% -6.10%
Avg Days to Max Increase   9 4 9 4 18 4 9 15 12 8 4
2017 Contract Condition     Yes   Yes Yes Yes Yes        
Action     Yes   Yes Yes Yes No        
High 168.51 180.60 182.98 175.67 173.00 172.86 167.12 158.70 167.70 170.38 185.26 188.96
Low 151.62 166.80 169.90 167.64 155.52 155.79 143.82 140.70 146.04 156.57 166.91 171.88
Close/Last 166.88 179.70 171.08 171.41 163.54 157.18 156.88 151.74 167.24 170.16 180.62 188.05

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