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ScenarioSM Study for November RBOB Gasoline(NYM) as of Jan 01, 2009 | ||||||||||||
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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 | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep |
Tested Years | 5 | 14 | 16 | 18 | 22 | 23 | 23 | 24 | 24 | 24 | 24 | |
Closed Higher | 3 | 8 | 7 | 12 | 16 | 17 | 11 | 11 | 15 | 16 | 13 | |
Exceeded High | 2 | 7 | 6 | 12 | 15 | 14 | 9 | 11 | 13 | 16 | 9 | |
Scenario Percentage | 67% | 88% | 86% | 100% | 94% | 82% | 82% | 100% | 87% | 100% | 69% | |
Avg Max Increase | 17.68% | 7.27% | 10.82% | 10.73% | 9.10% | 8.11% | 7.85% | 11.56% | 16.20% | 11.18% | 8.99% | |
Max Increase | 20.71% | 17.16% | 21.12% | 21.93% | 20.23% | 28.58% | 14.84% | 40.62% | 71.91% | 29.31% | 15.24% | |
Avg Days To Max Increase | 16 | 17 | 16 | 15 | 17 | 18 | 20 | 18 | 20 | 20 | 21 | |
Avg Max Decline | 1.09% | -1.54% | -2.08% | -1.35% | -3.05% | -2.25% | -2.74% | -2.36% | -2.27% | -4.24% | -2.18% | |
Max Decline | 0.70% | -7.21% | -5.25% | -6.02% | -9.73% | -9.50% | -6.04% | -10.60% | -9.62% | -14.50% | -4.71% | |
Avg Days to Max Decline | 20 | 10 | 11 | 8 | 7 | 9 | 13 | 11 | 10 | 12 | 2 | |
2008 Contract Condition | Yes | Yes | Yes | Yes | Yes | |||||||
Action | Yes | Yes | Yes | Yes | Yes |
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