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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February Natural Gas(NYM) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   27 27 27 28 28 28 28 28 28 28 28
Closed Higher   16 18 19 12 11 11 11 13 10 9 11
Exceeded High   13 18 17 9 5 10 9 11 3 7 8
Scenario Percentage   81% 100% 89% 75% 45% 91% 82% 85% 30% 78% 73%
Avg Max Increase   13.09% 11.91% 9.63% 7.80% 14.40% 16.89% 16.29% 14.19% 26.82% 35.07% 16.23%
Max Increase   31.04% 47.84% 40.31% 14.47% 46.67% 62.28% 27.84% 34.35% 63.61% 61.54% 28.65%
Avg Days To Max Increase   17 17 15 19 13 21 16 19 16 20 14
Avg Max Decline   -1.79% -2.26% -2.73% -2.21% -1.88% -4.46% -2.16% -4.90% -3.48% -4.10% -0.00%
Max Decline   -6.55% -6.55% -8.99% -5.23% -5.63% -12.97% -5.91% -14.84% -7.41% -15.50% -6.55%
Avg Days to Max Decline   9 7 7 12 6 11 6 12 4 7 5
2018 Contract Condition     Yes Yes       Yes     Yes  
Action     Yes Yes       Yes     Yes  
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   27 27 27 28 28 28 28 28 28 28 28
Closed Lower   11 9 8 15 16 17 17 15 18 19 17
Penetrated Low   5 9 6 12 13 15 14 14 15 16 13
Scenario Percentage   45% 100% 75% 80% 81% 88% 82% 93% 83% 84% 76%
Avg Max Decline   9.65% 6.75% 10.24% 9.55% 10.27% 9.97% 11.66% 12.68% 18.33% 22.57% 18.24%
Max Decline   13.86% 20.31% 26.74% 17.21% 19.37% 23.49% 29.36% 21.60% 28.29% 41.55% 30.96%
Avg Days To Max Decline   20 20 20 22 19 16 16 21 20 18 20
Avg Max Increase   -1.50% -4.10% -3.09% -4.39% -2.74% -3.05% -2.90% -6.76% -5.69% -4.75% -2.73%
Max Increase   -2.89% -11.49% -7.98% -13.78% -8.56% -8.87% -10.56% -27.12% -25.13% -16.00% -16.03%
Avg Days to Max Increase   10 15 8 9 16 7 9 13 8 7 6
2018 Contract Condition   Yes     Yes Yes Yes   Yes Yes   Yes
Action   No     Yes Yes Yes   Yes Yes   Not Yet
High 3.738 3.655 3.581 3.672 3.707 3.412 3.402 3.326 3.446 3.321 3.320 3.124
Low 3.417 3.179 3.290 3.489 3.375 3.205 3.155 3.132 3.224 3.020 2.917 2.562
Close/Last 3.519 3.304 3.514 3.595 3.381 3.336 3.164 3.321 3.299 3.030 3.032 2.953

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