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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, 2015
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   29 31 32 34 36 36 36 36 36 36 36
Closed Higher   14 16 16 24 21 17 18 23 19 21 14
Exceeded High   13 13 15 23 15 13 17 19 18 18 9
Scenario Percentage   93% 81% 94% 96% 71% 76% 94% 83% 95% 86% 64%
Avg Max Increase   8.18% 10.52% 10.94% 9.96% 8.45% 9.36% 10.64% 13.48% 10.16% 8.08% 6.17%
Max Increase   21.40% 28.35% 23.37% 42.04% 28.68% 24.91% 24.98% 74.87% 38.50% 21.61% 12.09%
Avg Days To Max Increase   15 14 13 16 18 15 18 17 14 13 17
Avg Max Decline   -1.54% -1.52% -1.09% -1.78% -2.09% -1.52% -3.11% -2.10% -2.88% -3.06% -1.59%
Max Decline   -6.64% -5.08% -4.52% -7.19% -11.13% -5.77% -15.93% -8.30% -14.50% -13.85% -2.99%
Avg Days to Max Decline   9 6 8 5 9 5 12 8 7 5 3
2014 Contract Condition   Yes   Yes       Yes        
Action   No   Yes       No        
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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   29 31 32 34 36 36 36 36 36 36 36
Closed Lower   15 15 16 10 15 19 18 13 17 15 22
Penetrated Low   11 10 10 7 8 13 14 7 12 13 16
Scenario Percentage   73% 67% 63% 70% 53% 68% 78% 54% 71% 87% 73%
Avg Max Decline   9.95% 10.44% 5.79% 6.37% 7.37% 7.20% 7.88% 9.71% 12.01% 10.87% 8.80%
Max Decline   22.42% 34.29% 19.09% 14.29% 20.65% 13.88% 19.13% 24.22% 41.23% 43.86% 21.31%
Avg Days To Max Decline   18 15 9 10 17 17 17 19 16 12 16
Avg Max Increase   -4.43% -1.46% -1.76% -2.18% -3.56% -1.07% -2.21% -4.39% -1.99% -3.77% -2.09%
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   10 4 9 2 17 4 10 18 12 8 4
2014 Contract Condition     Yes   Yes Yes Yes   Yes Yes Yes Yes
Action     No   Yes No Yes   Yes Yes Yes Yes
High 298.12 301.03 298.84 299.03 300.51 299.11 296.31 309.45 301.69 293.50 288.25 270.04
Low 282.67 291.66 284.09 285.10 286.80 284.27 287.83 287.71 288.62 282.32 264.44 241.59
Close/Last 295.13 298.59 286.96 294.18 291.62 291.49 290.86 300.91 291.75 287.28 265.66 251.09

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