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ScenarioSM Study for January NY Harbor ULSD(NYM) as of Jan 01, 2008 | |||||||||||
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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 | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 17 | 19 | 23 | 25 | 28 | 29 | 29 | 29 | 29 | 29 | 29 |
Closed Higher | 10 | 10 | 17 | 17 | 14 | 13 | 19 | 17 | 20 | 12 | 11 |
Exceeded High | 8 | 9 | 16 | 14 | 10 | 13 | 15 | 17 | 16 | 10 | 7 |
Scenario Percentage | 80% | 90% | 94% | 82% | 71% | 100% | 79% | 100% | 80% | 83% | 64% |
Avg Max Increase | 12.63% | 10.67% | 8.38% | 10.11% | 9.52% | 11.01% | 14.40% | 10.02% | 8.40% | 12.08% | 21.43% |
Max Increase | 28.58% | 23.82% | 18.16% | 52.14% | 25.37% | 24.90% | 71.34% | 38.14% | 21.49% | 26.77% | 65.02% |
Avg Days To Max Increase | 15 | 13 | 20 | 17 | 17 | 19 | 19 | 15 | 16 | 19 | 24 |
Avg Max Decline | -1.44% | -1.08% | -2.68% | -2.18% | -1.54% | -1.90% | -1.96% | -2.67% | -3.33% | -1.83% | -2.31% |
Max Decline | -4.68% | -4.39% | -8.71% | -10.66% | -5.26% | -6.36% | -8.11% | -13.56% | -13.28% | -3.38% | -7.37% |
Avg Days to Max Decline | 5 | 11 | 8 | 9 | 7 | 13 | 8 | 9 | 10 | 4 | 5 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | No | Yes | Yes | Yes | No | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.