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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 29 33 35 38 39 39 39 39 39 39
Closed Higher   13 17 23 23 17 19 24 22 23 15 17
Exceeded High   11 15 22 19 13 17 20 20 19 12 11
Scenario Percentage   85% 88% 96% 83% 76% 89% 83% 91% 83% 80% 65%
Avg Max Increase   11.68% 9.66% 10.41% 10.01% 9.46% 10.21% 12.61% 9.82% 8.26% 11.36% 17.77%
Max Increase   28.58% 23.82% 41.75% 52.14% 25.37% 24.90% 71.34% 38.14% 21.49% 26.77% 77.96%
Avg Days To Max Increase   14 16 19 16 16 18 18 16 16 19 25
Avg Max Decline   -1.05% -2.02% -2.56% -2.11% -1.46% -2.83% -2.00% -2.66% -3.25% -1.94% -1.98%
Max Decline   -4.68% -12.55% -8.71% -10.66% -5.26% -15.39% -8.11% -13.56% -13.28% -3.38% -7.37%
Avg Days to Max Decline   5 11 7 8 6 12 8 9 10 4 5
2017 Contract Condition     Yes Yes Yes Yes Yes   Yes Yes   Yes
Action     Yes Yes Yes Yes No   Yes Yes   Yes
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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 29 33 35 38 39 39 39 39 39 39
Closed Lower   14 12 10 12 21 20 15 17 16 24 22
Penetrated Low   8 7 7 8 14 15 9 10 14 21 21
Scenario Percentage   57% 58% 70% 67% 67% 75% 60% 59% 88% 88% 95%
Avg Max Decline   8.43% 5.72% 6.55% 8.31% 8.48% 8.79% 9.14% 13.52% 11.43% 14.74% 10.78%
Max Decline   17.36% 18.65% 13.94% 20.29% 18.27% 26.81% 24.06% 40.46% 44.00% 43.61% 31.02%
Avg Days To Max Decline   15 11 9 18 19 17 17 16 16 16 18
Avg Max Increase   -1.34% -1.62% -2.85% -3.24% -1.06% -1.91% -3.14% -1.31% -3.54% -2.69% -1.96%
Max Increase   -5.97% -3.71% -5.61% -6.82% -6.39% -7.53% -19.07% -5.36% -16.69% -8.52% -10.08%
Avg Days to Max Increase   4 11 7 16 3 8 10 15 8 6 4
2017 Contract Condition   Yes           Yes     Yes  
Action   No           Yes     Yes  
High 160.00 139.74 130.14 140.48 151.33 159.49 163.43 160.00 159.31 156.30 165.73 159.42
Low 135.84 106.74 117.04 127.83 123.56 140.04 150.24 137.00 133.38 141.95 152.00 138.89
Close/Last 137.02 128.07 128.79 134.05 148.98 156.84 157.38 139.26 147.95 156.15 152.16 157.63

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