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ScenarioSM Study for April 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 | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 20 | 22 | 27 | 27 | 28 | 29 | 29 | 29 | 30 | 30 | 30 |
Closed Higher | 15 | 10 | 14 | 17 | 16 | 18 | 15 | 11 | 15 | 13 | 13 |
Exceeded High | 13 | 8 | 14 | 15 | 15 | 12 | 11 | 8 | 14 | 9 | 13 |
Scenario Percentage | 87% | 80% | 100% | 88% | 94% | 67% | 73% | 73% | 93% | 69% | 100% |
Avg Max Increase | 7.52% | 10.61% | 10.31% | 11.28% | 8.91% | 8.17% | 10.53% | 16.38% | 10.43% | 14.55% | 10.88% |
Max Increase | 30.75% | 26.14% | 23.82% | 59.17% | 31.26% | 19.36% | 23.56% | 28.14% | 37.61% | 28.18% | 27.13% |
Avg Days To Max Increase | 16 | 20 | 19 | 16 | 15 | 15 | 22 | 16 | 18 | 13 | 18 |
Avg Max Decline | -1.94% | -1.34% | -2.24% | -1.16% | -1.68% | -1.73% | -2.85% | -1.83% | -3.64% | -3.22% | -2.98% |
Max Decline | -6.43% | -4.54% | -14.20% | -7.62% | -8.59% | -8.11% | -8.29% | -8.06% | -10.05% | -8.26% | -9.12% |
Avg Days to Max Decline | 7 | 10 | 14 | 9 | 9 | 6 | 15 | 4 | 14 | 7 | 5 |
2009 Contract Condition | Yes | Yes | Yes | ||||||||
Action | Yes | Yes | Yes |
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