|
ScenarioSM Study for April RBOB Gasoline(NYM) as of Dec 30, 2011 | ||||||||||||
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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 | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb |
Tested Years | 5 | 15 | 18 | 21 | 25 | 25 | 26 | 26 | 26 | 26 | 26 | |
Closed Higher | 5 | 8 | 12 | 15 | 14 | 12 | 13 | 13 | 14 | 17 | 13 | |
Exceeded High | 5 | 6 | 12 | 13 | 13 | 10 | 8 | 10 | 14 | 14 | 13 | |
Scenario Percentage | 100% | 75% | 100% | 87% | 93% | 83% | 62% | 77% | 100% | 82% | 100% | |
Avg Max Increase | 13.92% | 10.54% | 9.14% | 10.71% | 7.77% | 7.34% | 11.12% | 14.87% | 11.48% | 14.09% | 10.78% | |
Max Increase | 28.83% | 14.66% | 27.24% | 54.45% | 28.85% | 18.46% | 17.20% | 27.12% | 33.52% | 30.03% | 24.67% | |
Avg Days To Max Increase | 16 | 19 | 20 | 16 | 14 | 17 | 24 | 15 | 17 | 18 | 20 | |
Avg Max Decline | 0.40% | -2.91% | -2.07% | -0.82% | -1.17% | -2.63% | -2.13% | -1.55% | -1.78% | -5.66% | -3.74% | |
Max Decline | -2.21% | -11.05% | -11.95% | -7.78% | -8.21% | -9.33% | -5.20% | -8.51% | -9.66% | -17.22% | -10.79% | |
Avg Days to Max Decline | 2 | 3 | 13 | 8 | 10 | 6 | 16 | 4 | 9 | 11 | 5 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes | ||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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