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ScenarioSM Study for April 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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 22 | 24 | 29 | 29 | 30 | 31 | 31 | 31 | 32 | 32 | 32 | |
Closed Higher | 16 | 11 | 15 | 19 | 16 | 19 | 16 | 13 | 17 | 14 | 15 | |
Exceeded High | 14 | 9 | 15 | 17 | 15 | 13 | 11 | 10 | 16 | 10 | 15 | |
Scenario Percentage | 88% | 82% | 100% | 89% | 94% | 68% | 69% | 77% | 94% | 71% | 100% | |
Avg Max Increase | 7.10% | 10.43% | 9.97% | 10.52% | 8.91% | 8.07% | 10.53% | 15.45% | 10.75% | 14.57% | 10.23% | |
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 | 15 | 19 | 18 | 15 | 15 | 15 | 22 | 17 | 18 | 13 | 16 | |
Avg Max Decline | -1.78% | -1.03% | -3.05% | -0.78% | -1.68% | -1.82% | -2.85% | -2.26% | -3.33% | -3.13% | -2.69% | |
Max Decline | -6.43% | -4.54% | -14.40% | -7.62% | -8.59% | -8.11% | -8.29% | -8.28% | -10.05% | -8.26% | -9.12% | |
Avg Days to Max Decline | 7 | 9 | 14 | 8 | 9 | 7 | 15 | 5 | 13 | 7 | 5 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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