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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July NY Harbor ULSD(NYM) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   26 29 31 31 33 34 35 35 35 35 35
Closed Higher   21 16 16 14 17 14 15 17 25 25 17
Exceeded High   18 14 12 11 13 12 12 16 24 20 10
Scenario Percentage   86% 88% 75% 79% 76% 86% 80% 94% 96% 80% 59%
Avg Max Increase   8.80% 6.66% 8.31% 9.26% 9.46% 10.05% 10.51% 11.39% 10.99% 9.75% 9.05%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 21.36% 27.58% 25.97% 41.58% 29.68% 17.24%
Avg Days To Max Increase   15 14 16 21 16 17 12 13 15 16 17
Avg Max Decline   -0.70% -0.84% -1.83% -2.22% -1.84% -1.98% -1.71% -1.33% -2.16% -2.94% -1.57%
Max Decline   -7.21% -6.28% -8.40% -4.74% -8.27% -7.42% -6.29% -5.57% -6.96% -16.05% -7.53%
Avg Days to Max Decline   8 9 5 11 7 13 5 7 8 9 7
2014 Contract Condition   Yes Yes   Yes Yes Yes   Yes   Yes  
Action   Yes No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   26 29 31 31 33 34 35 35 35 35 35
Closed Lower   5 13 15 17 16 19 20 18 10 10 18
Penetrated Low   4 8 12 15 13 15 13 13 9 7 14
Scenario Percentage   80% 62% 80% 88% 81% 79% 65% 72% 90% 70% 78%
Avg Max Decline   9.94% 11.91% 9.63% 12.29% 13.81% 13.52% 12.08% 6.68% 8.12% 8.40% 6.03%
Max Decline   22.93% 37.63% 40.47% 38.60% 29.86% 38.04% 35.18% 20.99% 15.36% 21.22% 12.36%
Avg Days To Max Decline   19 20 13 17 19 19 15 13 14 15 14
Avg Max Increase   -3.52% -2.29% -1.31% -2.10% -1.40% -3.58% -2.30% -2.40% -2.58% -3.62% -1.75%
Max Increase   -8.51% -11.01% -5.67% -5.82% -7.39% -11.13% -6.56% -11.47% -5.99% -8.06% -8.98%
Avg Days to Max Increase   19 18 7 7 10 8 7 11 6 15 4
2014 Contract Condition       Yes       Yes   Yes   Yes
Action       Yes       No   Yes   Yes
High 293.33 298.79 304.89 302.40 298.92 300.28 304.83 299.32 302.85 303.67 300.98 296.81
Low 278.25 281.94 286.50 286.40 286.36 283.28 292.85 285.95 287.15 286.94 284.20 288.19
Close/Last 282.03 296.42 299.25 289.36 291.85 297.94 301.82 289.31 296.90 292.34 292.37 288.82

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