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ScenarioSM Study for January NY Harbor ULSD(NYM) as of Jan 01, 2015 | ||||||||||||
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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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov |
Tested Years | 24 | 26 | 30 | 32 | 35 | 36 | 36 | 36 | 36 | 36 | 36 | |
Closed Higher | 13 | 15 | 22 | 21 | 16 | 18 | 23 | 19 | 21 | 14 | 15 | |
Exceeded High | 11 | 14 | 21 | 17 | 12 | 17 | 19 | 18 | 17 | 11 | 9 | |
Scenario Percentage | 85% | 93% | 95% | 81% | 75% | 94% | 83% | 95% | 81% | 79% | 60% | |
Avg Max Increase | 11.68% | 10.28% | 10.00% | 10.44% | 9.89% | 10.21% | 12.73% | 9.60% | 8.34% | 11.40% | 19.78% | |
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 | 15 | 18 | 17 | 16 | 18 | 17 | 15 | 16 | 18 | 25 | |
Avg Max Decline | -1.05% | -1.27% | -2.31% | -1.95% | -1.43% | -2.83% | -1.78% | -2.63% | -3.31% | -1.92% | -2.13% | |
Max Decline | -4.68% | -4.39% | -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 | 8 | 8 | 6 | 12 | 7 | 9 | 10 | 4 | 6 | |
2014 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | No | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.