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ScenarioSM Study for January NY Harbor ULSD(NYM) as of Oct 20, 2019 | ||||||||||||
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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 | 28 | 30 | 34 | 36 | 39 | 40 | 40 | 40 | 40 | 40 | 40 | |
Closed Higher | 14 | 17 | 24 | 24 | 18 | 20 | 24 | 23 | 24 | 15 | 17 | |
Exceeded High | 11 | 15 | 23 | 20 | 13 | 18 | 20 | 21 | 20 | 12 | 11 | |
Scenario Percentage | 79% | 88% | 96% | 83% | 72% | 90% | 83% | 91% | 83% | 80% | 65% | |
Avg Max Increase | 11.68% | 9.66% | 10.56% | 9.89% | 9.46% | 9.73% | 12.61% | 9.79% | 8.06% | 11.36% | 17.90% | |
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 | 16 | 19 | 16 | 16 | 18 | 18 | 15 | 15 | 19 | 26 | |
Avg Max Decline | -1.05% | -2.02% | -2.60% | -2.11% | -1.46% | -3.07% | -2.00% | -2.65% | -3.09% | -1.94% | -1.98% | |
Max Decline | -4.68% | -12.55% | -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 | 7 | 8 | 6 | 12 | 8 | 9 | 9 | 4 | 5 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | No | Yes | Yes | No | Yes | Yes | Yes |
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