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ScenarioSM Study for March 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan |
Tested Years | 19 | 22 | 23 | 29 | 30 | 30 | 30 | 30 | 30 | 30 | 30 |
Closed Higher | 15 | 16 | 11 | 15 | 18 | 17 | 19 | 16 | 12 | 16 | 10 |
Exceeded High | 15 | 13 | 9 | 15 | 15 | 16 | 15 | 13 | 9 | 14 | 6 |
Scenario Percentage | 100% | 81% | 82% | 100% | 83% | 94% | 79% | 81% | 75% | 88% | 60% |
Avg Max Increase | 10.53% | 8.14% | 9.96% | 10.17% | 11.96% | 9.58% | 8.66% | 11.21% | 17.16% | 12.00% | 12.14% |
Max Increase | 42.43% | 29.78% | 25.61% | 24.85% | 62.05% | 33.12% | 23.00% | 25.47% | 34.25% | 41.13% | 26.53% |
Avg Days To Max Increase | 18 | 18 | 21 | 18 | 18 | 17 | 14 | 19 | 14 | 17 | 14 |
Avg Max Decline | -2.26% | -2.10% | -1.80% | -2.61% | -1.45% | -2.08% | -2.20% | -2.57% | -1.77% | -3.70% | -2.15% |
Max Decline | -8.64% | -7.69% | -5.71% | -17.69% | -8.00% | -10.58% | -10.07% | -8.35% | -8.11% | -13.01% | -9.43% |
Avg Days to Max Decline | 11 | 7 | 9 | 13 | 10 | 9 | 6 | 14 | 4 | 10 | 4 |
2009 Contract Condition | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.