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ScenarioSM Study for June RBOB Gasoline(NYM) as of Dec 31, 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 | Apr |
Tested Years | 7 | 17 | 19 | 22 | 24 | 25 | 25 | 25 | 25 | 25 | 25 | |
Closed Higher | 4 | 10 | 10 | 9 | 13 | 12 | 13 | 17 | 12 | 20 | 18 | |
Exceeded High | 4 | 10 | 9 | 7 | 8 | 9 | 13 | 15 | 12 | 19 | 14 | |
Scenario Percentage | 100% | 100% | 90% | 78% | 62% | 75% | 100% | 88% | 100% | 95% | 78% | |
Avg Max Increase | 4.35% | 11.04% | 8.45% | 7.81% | 10.63% | 13.11% | 9.45% | 13.51% | 18.34% | 13.99% | 10.68% | |
Max Increase | 6.66% | 52.68% | 28.27% | 17.83% | 17.58% | 23.63% | 23.34% | 32.68% | 36.66% | 36.31% | 33.03% | |
Avg Days To Max Increase | 12 | 18 | 15 | 17 | 24 | 15 | 18 | 20 | 21 | 16 | 15 | |
Avg Max Decline | -3.67% | -1.05% | -0.89% | -1.92% | -1.71% | -1.72% | -1.80% | -5.38% | -2.12% | -3.89% | -1.86% | |
Max Decline | -12.14% | -7.48% | -3.53% | -7.12% | -5.04% | -8.45% | -8.61% | -17.33% | -7.19% | -14.14% | -9.92% | |
Avg Days to Max Decline | 6 | 9 | 11 | 3 | 17 | 4 | 10 | 12 | 8 | 6 | 4 | |
2010 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | No | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.