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ScenarioSM Study for November RBOB Gasoline(NYM) as of Jan 01, 2015 | ||||||||||||
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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 | 11 | 20 | 22 | 24 | 28 | 29 | 29 | 30 | 30 | 30 | 30 | |
Closed Higher | 7 | 11 | 11 | 16 | 21 | 21 | 13 | 14 | 20 | 18 | 15 | |
Exceeded High | 6 | 9 | 10 | 16 | 19 | 18 | 11 | 13 | 18 | 17 | 11 | |
Scenario Percentage | 86% | 82% | 91% | 100% | 90% | 86% | 85% | 93% | 90% | 94% | 73% | |
Avg Max Increase | 10.69% | 9.52% | 10.94% | 9.92% | 9.54% | 8.96% | 7.94% | 11.58% | 13.52% | 10.74% | 8.32% | |
Max Increase | 20.71% | 17.79% | 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 | 18 | 17 | 15 | 16 | 20 | 18 | 18 | 19 | 19 | |
Avg Max Decline | -0.84% | -0.94% | -3.03% | -1.58% | -2.62% | -1.78% | -2.42% | -3.26% | -2.00% | -4.36% | -2.33% | |
Max Decline | -7.75% | -7.21% | -16.67% | -6.02% | -9.73% | -9.50% | -6.04% | -16.10% | -9.62% | -14.50% | -5.70% | |
Avg Days to Max Decline | 11 | 10 | 9 | 9 | 6 | 8 | 11 | 10 | 8 | 12 | 2 | |
2014 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
Action | Yes | No | Yes | Yes | Yes | No |
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