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ScenarioSM Study for May 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 | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar |
Tested Years | 23 | 27 | 28 | 31 | 31 | 32 | 32 | 32 | 32 | 32 | 32 | |
Closed Higher | 12 | 15 | 20 | 17 | 18 | 15 | 15 | 15 | 13 | 15 | 23 | |
Exceeded High | 10 | 15 | 16 | 16 | 10 | 11 | 12 | 14 | 11 | 14 | 17 | |
Scenario Percentage | 83% | 100% | 80% | 94% | 56% | 73% | 80% | 93% | 85% | 93% | 74% | |
Avg Max Increase | 9.94% | 9.75% | 10.18% | 7.50% | 9.79% | 10.96% | 11.60% | 10.59% | 13.32% | 14.08% | 10.30% | |
Max Increase | 25.87% | 23.36% | 56.36% | 29.50% | 19.39% | 21.64% | 25.04% | 30.08% | 27.08% | 29.40% | 19.16% | |
Avg Days To Max Increase | 18 | 17 | 17 | 16 | 16 | 20 | 13 | 18 | 13 | 13 | 17 | |
Avg Max Decline | -0.90% | -2.58% | -0.94% | -1.58% | -1.68% | -2.06% | -1.74% | -2.48% | -2.42% | -2.37% | -1.40% | |
Max Decline | -4.80% | -13.85% | -7.35% | -6.87% | -7.85% | -5.83% | -8.29% | -7.95% | -7.14% | -10.28% | -4.36% | |
Avg Days to Max Decline | 6 | 10 | 10 | 8 | 6 | 11 | 5 | 12 | 7 | 7 | 2 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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