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ScenarioSM Study for August RBOB Gasoline(NYM) as of Dec 30, 2016 | ||||||||||||
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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 | Jul | Aug | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun |
Tested Years | 14 | 24 | 25 | 26 | 29 | 29 | 31 | 31 | 31 | 31 | 31 | |
Closed Higher | 7 | 9 | 13 | 11 | 15 | 17 | 18 | 24 | 22 | 17 | 15 | |
Exceeded High | 4 | 7 | 8 | 10 | 14 | 15 | 18 | 21 | 19 | 14 | 10 | |
Scenario Percentage | 57% | 78% | 62% | 91% | 93% | 88% | 100% | 88% | 86% | 82% | 67% | |
Avg Max Increase | 9.36% | 8.05% | 7.12% | 9.88% | 9.84% | 14.32% | 12.22% | 10.84% | 10.64% | 9.16% | 8.33% | |
Max Increase | 27.22% | 17.17% | 11.94% | 20.89% | 20.34% | 33.07% | 26.78% | 30.63% | 41.22% | 16.94% | 18.79% | |
Avg Days To Max Increase | 17 | 16 | 23 | 18 | 20 | 20 | 19 | 15 | 16 | 16 | 14 | |
Avg Max Decline | 0.20% | -1.45% | -1.39% | -0.92% | -1.05% | -2.99% | -2.83% | -2.59% | -2.57% | -4.64% | -1.96% | |
Max Decline | -2.71% | -6.20% | -3.08% | -7.68% | -7.85% | -16.59% | -13.61% | -7.23% | -12.59% | -11.35% | -4.69% | |
Avg Days to Max Decline | 6 | 6 | 13 | 7 | 9 | 9 | 9 | 6 | 8 | 10 | 4 | |
2016 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | No | No | Yes | Yes | No |
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