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ScenarioSM Study for August NY Harbor ULSD(NYM) as of Dec 31, 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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
Tested Years | 22 | 25 | 25 | 26 | 27 | 28 | 29 | 31 | 31 | 31 | 31 | |
Closed Higher | 12 | 11 | 12 | 10 | 12 | 11 | 13 | 23 | 22 | 17 | 16 | |
Exceeded High | 10 | 9 | 7 | 8 | 11 | 8 | 12 | 22 | 17 | 12 | 14 | |
Scenario Percentage | 83% | 82% | 58% | 80% | 92% | 73% | 92% | 96% | 77% | 71% | 88% | |
Avg Max Increase | 7.53% | 7.14% | 10.50% | 9.13% | 8.60% | 11.22% | 13.11% | 11.27% | 10.50% | 10.90% | 6.29% | |
Max Increase | 25.68% | 17.53% | 19.33% | 16.91% | 19.50% | 28.10% | 23.37% | 41.95% | 30.49% | 24.23% | 12.36% | |
Avg Days To Max Increase | 14 | 15 | 27 | 12 | 16 | 11 | 15 | 17 | 16 | 17 | 17 | |
Avg Max Decline | -1.28% | -1.96% | -2.52% | -1.72% | -1.91% | -1.97% | -1.38% | -2.51% | -2.85% | -2.79% | -1.94% | |
Max Decline | -4.78% | -8.34% | -4.20% | -7.91% | -7.49% | -6.01% | -5.30% | -9.65% | -15.01% | -7.23% | -5.19% | |
Avg Days to Max Decline | 10 | 3 | 16 | 6 | 10 | 4 | 8 | 9 | 8 | 8 | 4 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | No | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.