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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May 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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   26 28 28 28 28 28 28 28 28 28 28
Closed Higher   13 13 14 13 14 9 9 11 12 15 20
Exceeded High   10 8 13 9 11 5 7 10 10 11 17
Scenario Percentage   77% 62% 93% 69% 79% 56% 78% 91% 83% 73% 85%
Avg Max Increase   7.43% 8.42% 11.09% 8.91% 7.06% 11.90% 17.75% 18.96% 18.95% 22.07% 10.08%
Max Increase   16.77% 27.44% 41.31% 23.54% 14.89% 22.06% 31.67% 62.43% 43.11% 54.87% 35.33%
Avg Days To Max Increase   19 15 20 19 18 20 21 18 21 13 15
Avg Max Decline   -1.51% -2.14% -2.99% -1.98% -4.05% -4.03% -1.76% -2.07% -3.76% -3.80% -4.07%
Max Decline   -4.89% -7.32% -11.20% -5.03% -13.36% -10.81% -4.42% -6.21% -7.50% -8.72% -8.03%
Avg Days to Max Decline   9 11 12 6 13 5 8 5 9 8 5
2018 Contract Condition         Yes Yes   Yes   Yes   Yes
Action         Yes Yes   No   No   Not Yet
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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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   26 28 28 28 28 28 28 28 28 28 28
Closed Lower   13 15 14 15 13 19 19 17 16 13 8
Penetrated Low   9 12 10 12 12 15 16 14 12 9 6
Scenario Percentage   69% 80% 71% 80% 92% 79% 84% 82% 75% 69% 75%
Avg Max Decline   6.06% 7.82% 9.47% 9.36% 9.12% 13.51% 15.13% 14.08% 14.96% 11.92% 6.54%
Max Decline   12.45% 14.66% 17.78% 22.61% 19.01% 23.62% 31.56% 34.01% 29.94% 27.60% 13.67%
Avg Days To Max Decline   19 19 19 18 23 19 17 15 20 13 10
Avg Max Increase   -4.13% -2.56% -1.96% -1.96% -5.15% -2.11% -2.54% -3.42% -6.38% -4.70% -3.33%
Max Increase   -13.25% -12.65% -5.64% -6.61% -20.13% -6.09% -9.12% -16.97% -13.73% -11.73% -7.44%
Avg Days to Max Increase   11 13 4 8 13 6 6 6 7 8 1
2018 Contract Condition   Yes Yes Yes     Yes   Yes   Yes  
Action   Yes Yes No     Yes   No   Not Yet  
High 2.922 2.916 2.877 2.878 2.892 2.957 3.000 2.971 2.899 2.951 2.844 2.831
Low 2.808 2.835 2.779 2.740 2.761 2.853 2.840 2.807 2.504 2.607 2.600 2.610
Close/Last 2.905 2.838 2.818 2.769 2.889 2.904 2.851 2.861 2.741 2.854 2.696 2.733

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