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ScenarioSM Study for November 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 | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep |
Tested Years | 8 | 17 | 19 | 21 | 25 | 26 | 26 | 27 | 27 | 27 | 27 | |
Closed Higher | 5 | 9 | 9 | 14 | 19 | 20 | 12 | 12 | 18 | 16 | 14 | |
Exceeded High | 4 | 8 | 8 | 14 | 18 | 17 | 10 | 12 | 16 | 16 | 10 | |
Scenario Percentage | 80% | 89% | 89% | 100% | 95% | 85% | 83% | 100% | 89% | 100% | 71% | |
Avg Max Increase | 13.81% | 8.48% | 11.59% | 10.86% | 10.03% | 9.01% | 8.09% | 11.32% | 13.83% | 11.18% | 8.90% | |
Max Increase | 20.71% | 17.16% | 21.12% | 21.93% | 28.31% | 37.88% | 14.84% | 40.62% | 71.91% | 29.31% | 15.24% | |
Avg Days To Max Increase | 18 | 18 | 19 | 17 | 16 | 16 | 20 | 17 | 17 | 20 | 19 | |
Avg Max Decline | -0.68% | -1.46% | -3.79% | -1.61% | -2.74% | -1.81% | -2.51% | -3.51% | -1.92% | -4.24% | -1.99% | |
Max Decline | -7.75% | -7.21% | -16.67% | -6.02% | -9.73% | -9.50% | -6.04% | -16.10% | -9.62% | -14.50% | -4.71% | |
Avg Days to Max Decline | 13 | 10 | 11 | 8 | 6 | 8 | 12 | 11 | 9 | 12 | 2 | |
2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes | Yes |
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