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ScenarioSM Study for December NY Harbor ULSD(NYM) as of Jan 01, 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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct |
Tested Years | 24 | 26 | 27 | 29 | 31 | 31 | 31 | 31 | 31 | 31 | 31 |
Closed Higher | 12 | 13 | 12 | 21 | 19 | 17 | 15 | 19 | 17 | 20 | 13 |
Exceeded High | 12 | 10 | 11 | 20 | 14 | 13 | 15 | 15 | 17 | 17 | 8 |
Scenario Percentage | 100% | 77% | 92% | 95% | 74% | 76% | 100% | 79% | 100% | 85% | 62% |
Avg Max Increase | 7.08% | 10.86% | 12.23% | 10.63% | 8.93% | 9.36% | 10.75% | 15.26% | 10.60% | 8.11% | 7.42% |
Max Increase | 17.69% | 28.35% | 23.37% | 42.04% | 28.68% | 24.91% | 24.98% | 74.87% | 38.50% | 21.61% | 18.25% |
Avg Days To Max Increase | 14 | 14 | 13 | 18 | 19 | 15 | 18 | 19 | 14 | 13 | 18 |
Avg Max Decline | -1.49% | -1.84% | -1.23% | -1.96% | -2.23% | -1.52% | -3.14% | -2.27% | -2.94% | -3.04% | -1.43% |
Max Decline | -6.64% | -5.08% | -4.52% | -7.19% | -11.13% | -5.77% | -15.93% | -8.30% | -14.50% | -13.85% | -2.99% |
Avg Days to Max Decline | 9 | 7 | 9 | 6 | 9 | 5 | 13 | 9 | 7 | 4 | 4 |
2009 Contract Condition | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | No |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.