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ScenarioSM Study for October 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 | Sep | Oct | Nov | Dec | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug |
Tested Years | 4 | 14 | 15 | 17 | 19 | 22 | 24 | 24 | 24 | 24 | 24 | |
Closed Higher | 2 | 6 | 8 | 8 | 12 | 17 | 17 | 12 | 12 | 15 | 16 | |
Exceeded High | 2 | 5 | 7 | 7 | 11 | 17 | 12 | 10 | 12 | 14 | 13 | |
Scenario Percentage | 100% | 83% | 88% | 88% | 92% | 100% | 71% | 83% | 100% | 93% | 81% | |
Avg Max Increase | 8.68% | 11.19% | 7.37% | 9.76% | 12.57% | 9.15% | 9.09% | 7.76% | 13.09% | 19.25% | 9.87% | |
Max Increase | 10.38% | 20.39% | 16.69% | 21.39% | 23.01% | 21.67% | 28.14% | 13.59% | 55.16% | 77.28% | 23.35% | |
Avg Days To Max Increase | 28 | 14 | 17 | 15 | 17 | 16 | 16 | 19 | 19 | 16 | 15 | |
Avg Max Decline | -2.30% | -0.42% | -1.26% | -1.66% | -1.56% | -2.68% | -2.04% | -3.29% | -2.89% | -2.27% | -1.05% | |
Max Decline | -3.21% | -1.88% | -7.27% | -5.69% | -6.42% | -9.22% | -9.97% | -6.60% | -12.56% | -11.37% | -5.49% | |
Avg Days to Max Decline | 30 | 11 | 10 | 11 | 9 | 7 | 9 | 13 | 13 | 11 | 4 | |
2008 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.