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ScenarioSM Study for August 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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
Tested Years | 11 | 21 | 22 | 23 | 26 | 26 | 28 | 28 | 28 | 28 | 28 | |
Closed Higher | 5 | 9 | 11 | 10 | 14 | 17 | 16 | 23 | 19 | 14 | 13 | |
Exceeded High | 4 | 7 | 7 | 9 | 13 | 15 | 16 | 20 | 16 | 12 | 10 | |
Scenario Percentage | 80% | 78% | 64% | 90% | 93% | 88% | 100% | 87% | 84% | 86% | 77% | |
Avg Max Increase | 9.36% | 8.05% | 7.26% | 10.58% | 10.46% | 14.32% | 13.20% | 10.63% | 11.48% | 10.62% | 9.15% | |
Max Increase | 27.22% | 17.17% | 11.94% | 20.89% | 20.34% | 33.07% | 26.78% | 30.63% | 41.22% | 16.94% | 18.79% | |
Avg Days To Max Increase | 17 | 16 | 22 | 17 | 20 | 20 | 18 | 14 | 15 | 16 | 16 | |
Avg Max Decline | 0.20% | -1.45% | -1.22% | -0.94% | -0.71% | -2.99% | -2.09% | -2.42% | -2.00% | -4.83% | -1.96% | |
Max Decline | -2.71% | -6.20% | -3.08% | -7.68% | -7.85% | -16.59% | -6.78% | -7.23% | -12.59% | -11.35% | -4.69% | |
Avg Days to Max Decline | 6 | 6 | 14 | 7 | 8 | 9 | 7 | 6 | 7 | 11 | 4 | |
2013 Contract Condition | Yes | Yes | Yes | Yes | ||||||||
Action | Yes | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.