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ScenarioSM Study for October NY Harbor ULSD(NYM) as of Jan 01, 2008 | |||||||||||
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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 | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 18 | 21 | 23 | 25 | 25 | 26 | 26 | 28 | 28 | 28 | 28 |
Closed Higher | 7 | 9 | 11 | 12 | 11 | 18 | 18 | 14 | 13 | 18 | 16 |
Exceeded High | 4 | 7 | 11 | 8 | 10 | 17 | 14 | 11 | 13 | 14 | 13 |
Scenario Percentage | 57% | 78% | 100% | 67% | 91% | 94% | 78% | 79% | 100% | 78% | 81% |
Avg Max Increase | 7.27% | 9.27% | 7.30% | 13.12% | 11.64% | 8.98% | 7.62% | 9.08% | 12.29% | 17.72% | 9.97% |
Max Increase | 10.87% | 15.59% | 17.88% | 28.21% | 23.24% | 19.17% | 16.75% | 23.89% | 26.34% | 79.92% | 40.09% |
Avg Days To Max Increase | 26 | 12 | 14 | 14 | 12 | 18 | 16 | 16 | 19 | 16 | 18 |
Avg Max Decline | -1.52% | -0.86% | -0.80% | -1.62% | -1.13% | -2.56% | -2.63% | -2.21% | -2.72% | -1.78% | -1.05% |
Max Decline | -2.90% | -2.23% | -3.85% | -4.92% | -4.83% | -9.29% | -13.06% | -6.25% | -9.27% | -8.90% | -5.04% |
Avg Days to Max Decline | 7 | 7 | 8 | 5 | 10 | 5 | 9 | 9 | 13 | 6 | 4 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.