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ScenarioSM Study for February NY Harbor ULSD(NYM) as of Jan 01, 2010 | |||||||||||
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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 |
Tested Years | 20 | 23 | 25 | 27 | 30 | 30 | 30 | 30 | 30 | 30 | 30 |
Closed Higher | 11 | 18 | 16 | 13 | 15 | 19 | 17 | 20 | 14 | 12 | 15 |
Exceeded High | 10 | 17 | 13 | 11 | 15 | 16 | 17 | 15 | 11 | 8 | 13 |
Scenario Percentage | 91% | 94% | 81% | 85% | 100% | 84% | 100% | 75% | 79% | 67% | 87% |
Avg Max Increase | 11.50% | 10.13% | 8.27% | 9.69% | 10.47% | 12.83% | 9.67% | 8.71% | 12.84% | 23.69% | 11.62% |
Max Increase | 23.87% | 42.31% | 29.01% | 25.18% | 25.14% | 65.58% | 34.76% | 21.36% | 34.13% | 55.32% | 44.01% |
Avg Days To Max Increase | 14 | 19 | 18 | 17 | 18 | 18 | 17 | 15 | 20 | 15 | 14 |
Avg Max Decline | -1.12% | -2.07% | -2.33% | -1.53% | -2.66% | -1.53% | -2.50% | -2.48% | -2.42% | -2.29% | -1.69% |
Max Decline | -4.31% | -8.55% | -8.89% | -5.26% | -16.83% | -8.09% | -12.52% | -12.46% | -8.80% | -6.73% | -6.52% |
Avg Days to Max Decline | 10 | 7 | 10 | 9 | 13 | 9 | 7 | 7 | 9 | 5 | 6 |
2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | Yes |
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