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ScenarioSM Study for February 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 | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
Tested Years | 6 | 18 | 19 | 22 | 25 | 26 | 28 | 28 | 28 | 28 | 28 | |
Closed Higher | 4 | 14 | 14 | 11 | 13 | 18 | 14 | 16 | 14 | 12 | 17 | |
Exceeded High | 4 | 13 | 12 | 8 | 13 | 16 | 13 | 13 | 8 | 9 | 17 | |
Scenario Percentage | 100% | 93% | 86% | 73% | 100% | 89% | 93% | 81% | 57% | 75% | 100% | |
Avg Max Increase | 9.50% | 9.69% | 9.41% | 9.69% | 9.77% | 11.26% | 8.66% | 7.25% | 12.57% | 15.14% | 8.79% | |
Max Increase | 11.65% | 25.45% | 33.12% | 15.86% | 27.86% | 60.66% | 32.50% | 20.66% | 20.48% | 26.51% | 18.16% | |
Avg Days To Max Increase | 23 | 17 | 18 | 20 | 17 | 16 | 15 | 15 | 26 | 16 | 15 | |
Avg Max Decline | -2.42% | -2.41% | -1.43% | -2.28% | -2.57% | -1.06% | -2.84% | -2.87% | -2.48% | -4.25% | -1.43% | |
Max Decline | -4.82% | -8.60% | -7.88% | -5.68% | -13.16% | -8.84% | -10.51% | -10.64% | -6.43% | -12.74% | -7.44% | |
Avg Days to Max Decline | 6 | 7 | 9 | 8 | 13 | 9 | 8 | 6 | 14 | 5 | 6 | |
2013 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | Yes |
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