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ScenarioSM Study for May RBOB Gasoline(NYM) as of Jan 01, 2010 | |||||||||||
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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 | 4 | 15 | 17 | 19 | 22 | 23 | 24 | 24 | 24 | 24 | 24 |
Closed Higher | 4 | 10 | 9 | 11 | 9 | 12 | 11 | 12 | 16 | 12 | 18 |
Exceeded High | 3 | 10 | 9 | 10 | 7 | 8 | 8 | 12 | 15 | 12 | 14 |
Scenario Percentage | 75% | 100% | 100% | 91% | 78% | 67% | 73% | 100% | 94% | 100% | 78% |
Avg Max Increase | 9.43% | 8.92% | 12.21% | 8.06% | 7.97% | 11.03% | 15.53% | 10.96% | 12.71% | 21.25% | 11.16% |
Max Increase | 14.52% | 26.43% | 52.64% | 28.22% | 17.98% | 17.01% | 24.88% | 26.92% | 31.39% | 47.38% | 22.82% |
Avg Days To Max Increase | 17 | 18 | 18 | 15 | 17 | 24 | 14 | 17 | 18 | 20 | 20 |
Avg Max Decline | -1.13% | -0.94% | -1.72% | -0.82% | -1.83% | -1.79% | -0.78% | -2.03% | -5.34% | -3.58% | -3.08% |
Max Decline | -3.30% | -6.34% | -7.94% | -3.56% | -7.87% | -5.12% | -2.64% | -9.31% | -17.17% | -8.87% | -8.74% |
Avg Days to Max Decline | 2 | 15 | 9 | 10 | 4 | 17 | 3 | 10 | 12 | 9 | 4 |
2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | Yes | Yes | Yes | No |
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