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ScenarioSM Study for March NY Harbor ULSD(NYM) as of Dec 30, 2011 | ||||||||||||
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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 | Jan |
Tested Years | 21 | 24 | 25 | 31 | 32 | 32 | 32 | 32 | 32 | 32 | 32 | |
Closed Higher | 17 | 17 | 12 | 16 | 20 | 17 | 20 | 17 | 14 | 18 | 11 | |
Exceeded High | 17 | 14 | 10 | 16 | 17 | 16 | 16 | 13 | 11 | 16 | 7 | |
Scenario Percentage | 100% | 82% | 83% | 100% | 85% | 94% | 80% | 76% | 79% | 89% | 64% | |
Avg Max Increase | 10.89% | 7.67% | 9.90% | 9.88% | 11.17% | 9.58% | 8.55% | 11.21% | 16.22% | 12.33% | 12.08% | |
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 | 17 | 20 | 17 | 16 | 17 | 14 | 19 | 15 | 17 | 16 | |
Avg Max Decline | -2.14% | -1.86% | -1.49% | -3.36% | -1.06% | -2.08% | -2.25% | -2.57% | -2.21% | -3.37% | -2.22% | |
Max Decline | -8.64% | -7.69% | -5.71% | -17.69% | -8.00% | -10.58% | -10.07% | -8.35% | -8.24% | -13.01% | -9.43% | |
Avg Days to Max Decline | 13 | 7 | 8 | 13 | 9 | 9 | 7 | 14 | 4 | 9 | 5 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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