Conglomerated Back Testing Results for SOS
 
Expected Values and Simulated Trading Values Are Close and Much Higher Than Respective Intrinsic Values


 
(All prices, cash and forward, were effectively taken at the same time each day. Thus, all recommended trades from the model were feasible.)


Values - 6-Cycle Storage   Values - 1.5-Cycle Storage

 
  • Back-testing results were conglomerated from tests covering several regions and prior years.
  • Back testing was performed on leases having one year terms, standard fuel and commodity charges, one ratchet, and no minimum requirements or ad valorem taxes.
  • The “Model’s Expected Value” is merely the model’s forecast of total storage value that would be generated by optimal daily injections, withdrawals and hedging over the simulated lease term.
  • The “Simulated Trading Value” equals the sum of discounted cash flows from following model recommendations for optimal injections, withdrawals, and hedging each historical day over the simulated lease term.
  • "Intrinsic Value" is merely the intrinsic value on the first day of the lease.