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ScenarioSM Study for January RBOB Gasoline(NYM) as of Jan 01, 2014 | ||||||||||||
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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 | Nov |
Tested Years | 10 | 18 | 20 | 21 | 24 | 28 | 28 | 29 | 29 | 29 | 29 | |
Closed Higher | 6 | 12 | 16 | 14 | 11 | 13 | 21 | 15 | 16 | 15 | 12 | |
Exceeded High | 5 | 11 | 15 | 12 | 9 | 13 | 19 | 13 | 15 | 9 | 9 | |
Scenario Percentage | 83% | 92% | 94% | 86% | 82% | 100% | 90% | 87% | 94% | 60% | 75% | |
Avg Max Increase | 9.08% | 10.70% | 8.99% | 9.69% | 8.88% | 9.64% | 11.60% | 9.18% | 7.00% | 11.15% | 8.71% | |
Max Increase | 13.56% | 21.47% | 26.16% | 34.34% | 15.81% | 30.83% | 64.52% | 32.03% | 20.91% | 20.41% | 14.22% | |
Avg Days To Max Increase | 17 | 17 | 15 | 17 | 22 | 18 | 18 | 16 | 11 | 20 | 24 | |
Avg Max Decline | -4.07% | -0.83% | -2.28% | -1.90% | -2.43% | -2.83% | -1.53% | -3.12% | -2.89% | -2.31% | -3.21% | |
Max Decline | -16.28% | -4.88% | -8.85% | -8.17% | -5.72% | -14.30% | -8.98% | -12.01% | -13.00% | -6.97% | -6.96% | |
Avg Days to Max Decline | 8 | 10 | 7 | 8 | 7 | 13 | 10 | 8 | 5 | 13 | 6 | |
2013 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | Yes |
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