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ScenarioSM Study for December NY Harbor ULSD(NYM) as of Jan 01, 2008 | |||||||||||
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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 | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct |
Tested Years | 22 | 24 | 25 | 27 | 29 | 29 | 29 | 29 | 29 | 29 | 29 |
Closed Higher | 11 | 13 | 11 | 19 | 18 | 15 | 13 | 19 | 17 | 20 | 12 |
Exceeded High | 11 | 10 | 10 | 18 | 13 | 11 | 13 | 15 | 17 | 17 | 8 |
Scenario Percentage | 100% | 77% | 91% | 95% | 72% | 73% | 100% | 79% | 100% | 85% | 67% |
Avg Max Increase | 6.89% | 10.86% | 11.47% | 8.46% | 7.41% | 8.91% | 11.50% | 15.26% | 10.60% | 8.11% | 7.42% |
Max Increase | 17.69% | 28.35% | 23.37% | 18.51% | 14.78% | 24.91% | 24.98% | 74.87% | 38.50% | 21.61% | 18.25% |
Avg Days To Max Increase | 13 | 14 | 13 | 17 | 18 | 16 | 19 | 19 | 14 | 13 | 18 |
Avg Max Decline | -1.03% | -1.84% | -1.14% | -1.80% | -2.21% | -1.64% | -2.21% | -2.27% | -2.94% | -3.04% | -1.43% |
Max Decline | -3.74% | -5.08% | -4.52% | -7.19% | -11.13% | -5.77% | -7.42% | -8.30% | -14.50% | -13.85% | -2.99% |
Avg Days to Max Decline | 8 | 7 | 9 | 5 | 10 | 5 | 14 | 9 | 7 | 4 | 4 |
2007 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | |||||
Action | Yes | Yes | Yes | Yes | Yes | Yes |
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.