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ScenarioSM Study for March RBOB Gasoline(NYM) as of Oct 20, 2019 | ||||||||||||
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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 | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan |
Tested Years | 15 | 24 | 27 | 28 | 31 | 32 | 33 | 34 | 34 | 34 | 34 | |
Closed Higher | 10 | 17 | 15 | 15 | 20 | 17 | 17 | 16 | 15 | 20 | 21 | |
Exceeded High | 9 | 15 | 11 | 14 | 18 | 15 | 16 | 9 | 12 | 20 | 13 | |
Scenario Percentage | 90% | 88% | 73% | 93% | 90% | 88% | 94% | 56% | 80% | 100% | 62% | |
Avg Max Increase | 10.07% | 8.95% | 8.34% | 9.35% | 10.28% | 9.32% | 6.96% | 11.18% | 12.61% | 10.72% | 10.27% | |
Max Increase | 24.62% | 32.02% | 15.22% | 26.75% | 57.53% | 31.03% | 20.25% | 18.41% | 23.07% | 31.11% | 18.82% | |
Avg Days To Max Increase | 19 | 15 | 19 | 18 | 17 | 13 | 12 | 25 | 18 | 17 | 16 | |
Avg Max Decline | -1.85% | -1.53% | -2.46% | -2.26% | -1.36% | -1.78% | -2.03% | -2.39% | -3.51% | -2.72% | -2.42% | |
Max Decline | -5.80% | -7.25% | -9.40% | -13.08% | -8.58% | -10.27% | -10.51% | -5.76% | -12.03% | -11.73% | -13.95% | |
Avg Days to Max Decline | 7 | 7 | 9 | 10 | 10 | 6 | 5 | 19 | 6 | 11 | 3 | |
2019 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | No | Yes | Yes | Yes | Yes |
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