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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 Dec 07, 2022
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   37 39 40 42 44 44 44 44 44 44 44
Closed Higher   19 20 21 27 27 22 24 27 24 26 17
Exceeded High   18 16 19 26 20 17 21 23 21 22 11
Scenario Percentage   95% 80% 90% 96% 74% 77% 88% 85% 88% 85% 65%
Avg Max Increase   9.12% 12.28% 10.75% 11.14% 9.41% 9.67% 9.42% 12.44% 10.25% 7.99% 6.91%
Max Increase   24.00% 29.44% 24.62% 42.04% 28.68% 24.91% 24.98% 74.87% 38.50% 21.61% 18.25%
Avg Days To Max Increase   15 14 16 17 17 15 17 17 14 13 17
Avg Max Decline   -1.38% -1.39% -1.91% -2.03% -2.21% -1.36% -3.19% -3.13% -2.87% -2.79% -1.81%
Max Decline   -6.64% -5.08% -12.74% -8.02% -11.13% -5.77% -15.93% -13.57% -14.50% -13.85% -3.31%
Avg Days to Max Decline   7 5 9 5 8 4 12 8 7 4 3
2022 Contract Condition   Yes Yes Yes Yes Yes Yes Yes   Yes   Yes
Action   Yes Yes Yes Yes Yes Yes No   No   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   37 39 40 42 44 44 44 44 44 44 44
Closed Lower   18 19 19 15 17 22 20 17 20 18 27
Penetrated Low   13 12 11 10 9 16 15 10 13 15 20
Scenario Percentage   72% 63% 58% 67% 53% 73% 75% 59% 65% 83% 74%
Avg Max Decline   11.03% 12.35% 8.63% 8.25% 7.71% 7.97% 9.16% 9.84% 12.37% 11.50% 10.03%
Max Decline   22.55% 34.62% 36.98% 17.63% 20.65% 18.72% 27.10% 24.22% 41.23% 43.86% 21.31%
Avg Days To Max Decline   18 16 11 13 18 17 18 18 17 13 17
Avg Max Increase   -4.04% -1.77% -2.10% -4.23% -3.87% -1.04% -2.03% -4.54% -2.01% -4.01% -2.30%
Max Increase   -9.89% -6.11% -10.40% -14.15% -6.95% -6.42% -7.66% -19.25% -5.86% -20.44% -6.10%
Avg Days to Max Increase   9 5 8 5 18 4 9 16 11 8 4
2022 Contract Condition                 Yes   Yes  
Action                 Yes   No  
High 234.01 230.14 251.62 277.67 322.00 328.08 366.30 407.19 369.64 389.39 361.97 383.15
Low 196.87 195.72 223.29 245.67 263.90 287.90 313.29 349.40 314.40 306.71 296.88 317.28
Close/Last 200.57 223.92 248.76 263.26 288.66 320.97 353.55 354.91 340.32 354.66 312.70 367.41

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