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ScenarioSM Study for March RBOB Gasoline(NYM) as of Jan 01, 2014 | ||||||||||||
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Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
Tested Month | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan |
Tested Years | 9 | 18 | 21 | 22 | 25 | 26 | 27 | 28 | 28 | 28 | 28 | |
Closed Higher | 7 | 13 | 10 | 12 | 18 | 13 | 14 | 14 | 12 | 17 | 19 | |
Exceeded High | 6 | 11 | 7 | 12 | 16 | 12 | 13 | 8 | 9 | 17 | 12 | |
Scenario Percentage | 86% | 85% | 70% | 100% | 89% | 92% | 93% | 57% | 75% | 100% | 63% | |
Avg Max Increase | 9.96% | 9.92% | 9.47% | 9.78% | 10.71% | 8.55% | 6.80% | 11.83% | 13.49% | 11.92% | 9.55% | |
Max Increase | 24.62% | 32.02% | 15.22% | 26.75% | 57.53% | 31.03% | 20.25% | 18.41% | 23.07% | 31.11% | 16.89% | |
Avg Days To Max Increase | 20 | 16 | 19 | 18 | 15 | 12 | 12 | 25 | 18 | 17 | 15 | |
Avg Max Decline | -1.23% | -1.05% | -2.04% | -2.46% | -0.93% | -1.48% | -2.18% | -2.38% | -3.95% | -2.50% | -2.60% | |
Max Decline | -3.37% | -7.25% | -5.54% | -13.08% | -8.58% | -10.27% | -10.51% | -5.76% | -12.03% | -11.73% | -13.95% | |
Avg Days to Max Decline | 8 | 7 | 8 | 11 | 9 | 6 | 5 | 17 | 5 | 11 | 3 | |
2013 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | No | Yes | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.