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ScenarioSM Study for May NY Harbor ULSD(NYM) as of Nov 09, 2020 | ||||||||||||
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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 | 32 | 36 | 37 | 40 | 40 | 41 | 41 | 41 | 41 | 41 | 41 | |
Closed Higher | 15 | 20 | 25 | 23 | 22 | 18 | 21 | 19 | 17 | 20 | 26 | |
Exceeded High | 12 | 18 | 20 | 20 | 13 | 14 | 17 | 17 | 14 | 18 | 22 | |
Scenario Percentage | 80% | 90% | 80% | 87% | 59% | 78% | 81% | 89% | 82% | 90% | 85% | |
Avg Max Increase | 9.07% | 8.85% | 9.41% | 7.76% | 9.15% | 9.93% | 10.65% | 9.43% | 12.14% | 11.64% | 9.74% | |
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 | 17 | 18 | 17 | 16 | 16 | 21 | 15 | 17 | 13 | 13 | 19 | |
Avg Max Decline | -0.95% | -2.68% | -1.73% | -1.70% | -1.55% | -2.18% | -1.74% | -2.39% | -2.01% | -2.91% | -2.29% | |
Max Decline | -4.80% | -13.85% | -10.33% | -6.87% | -7.85% | -5.83% | -8.29% | -7.95% | -7.14% | -14.74% | -10.01% | |
Avg Days to Max Decline | 6 | 9 | 10 | 8 | 5 | 9 | 6 | 11 | 6 | 8 | 2 | |
2020 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | No | Yes | Yes |
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