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ScenarioSM Study for July 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 | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May |
Tested Years | 32 | 35 | 37 | 37 | 39 | 40 | 41 | 41 | 41 | 41 | 41 | |
Closed Higher | 23 | 20 | 20 | 15 | 20 | 17 | 17 | 20 | 27 | 29 | 21 | |
Exceeded High | 19 | 17 | 15 | 12 | 16 | 15 | 13 | 18 | 26 | 24 | 12 | |
Scenario Percentage | 83% | 85% | 75% | 80% | 80% | 88% | 76% | 90% | 96% | 83% | 57% | |
Avg Max Increase | 8.72% | 7.39% | 8.06% | 9.15% | 9.88% | 8.84% | 10.39% | 10.57% | 11.66% | 9.27% | 9.68% | |
Max Increase | 51.79% | 26.41% | 26.16% | 20.60% | 19.67% | 21.36% | 27.58% | 25.97% | 41.58% | 29.68% | 19.86% | |
Avg Days To Max Increase | 15 | 15 | 16 | 22 | 15 | 16 | 13 | 15 | 16 | 15 | 17 | |
Avg Max Decline | -0.92% | -1.11% | -1.67% | -2.17% | -1.49% | -1.94% | -1.62% | -2.17% | -2.49% | -3.04% | -1.71% | |
Max Decline | -7.21% | -6.28% | -8.40% | -4.74% | -8.27% | -7.42% | -6.29% | -13.94% | -9.33% | -16.05% | -7.53% | |
Avg Days to Max Decline | 9 | 9 | 5 | 10 | 6 | 11 | 5 | 7 | 7 | 9 | 6 | |
2020 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | No | No | Yes | Yes | Yes |
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