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ScenarioSM Study for May Natural Gas(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 | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar |
Tested Years | 15 | 17 | 17 | 17 | 17 | 17 | 17 | 17 | 17 | 17 | 17 |
Closed Higher | 9 | 9 | 11 | 10 | 10 | 6 | 6 | 5 | 8 | 11 | 14 |
Exceeded High | 7 | 5 | 10 | 7 | 7 | 2 | 5 | 5 | 8 | 9 | 13 |
Scenario Percentage | 78% | 56% | 91% | 70% | 70% | 33% | 83% | 100% | 100% | 82% | 93% |
Avg Max Increase | 6.97% | 11.43% | 13.70% | 10.31% | 7.68% | 17.01% | 19.52% | 24.72% | 18.78% | 22.31% | 10.45% |
Max Increase | 16.77% | 27.44% | 41.31% | 23.54% | 14.89% | 22.06% | 31.67% | 62.43% | 43.11% | 54.87% | 35.33% |
Avg Days To Max Increase | 22 | 17 | 20 | 19 | 19 | 23 | 17 | 17 | 21 | 12 | 14 |
Avg Max Decline | -1.95% | -2.73% | -1.90% | -1.86% | -4.43% | -2.09% | -1.95% | -1.89% | -3.92% | -3.55% | -3.89% |
Max Decline | -4.89% | -7.32% | -6.85% | -5.03% | -13.36% | -3.62% | -4.42% | -6.21% | -7.50% | -8.72% | -7.77% |
Avg Days to Max Decline | 10 | 16 | 11 | 4 | 12 | 3 | 3 | 5 | 10 | 7 | 4 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | No | Yes | Yes |
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