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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Natural Gas(NYM) as of Feb 28, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   25 26 26 26 26 26 26 26 26 26 26
Closed Higher   11 13 12 12 6 6 11 12 14 17 14
Exceeded High   5 11 9 9 4 5 10 11 10 17 9
Scenario Percentage   45% 85% 75% 75% 67% 83% 91% 92% 71% 100% 64%
Avg Max Increase   9.71% 12.48% 8.79% 7.70% 8.72% 13.91% 16.90% 17.42% 23.92% 16.17% 16.43%
Max Increase   27.75% 40.81% 22.49% 14.62% 16.75% 26.34% 49.02% 34.72% 54.16% 52.28% 43.27%
Avg Days To Max Increase   14 21 18 19 17 17 18 22 17 18 16
Avg Max Decline   -1.71% -2.91% -2.31% -4.10% -2.15% -3.35% -1.82% -3.23% -3.29% -4.99% -2.92%
Max Decline   -3.16% -10.98% -4.34% -13.06% -4.32% -10.51% -5.83% -6.29% -8.24% -9.02% -8.56%
Avg Days to Max Decline   10 12 11 12 4 26 7 9 7 10 3
2017 Contract Condition   Yes Yes     Yes Yes Yes        
Action   Yes Yes     Yes Yes No        
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   25 26 26 26 26 26 26 26 26 26 26
Closed Lower   14 13 14 14 20 20 15 14 12 9 12
Penetrated Low   11 10 12 13 16 16 14 12 10 9 9
Scenario Percentage   79% 77% 86% 93% 80% 80% 93% 86% 83% 100% 75%
Avg Max Decline   8.02% 9.13% 9.07% 8.57% 12.45% 14.33% 11.02% 12.74% 11.28% 9.82% 7.82%
Max Decline   14.02% 17.20% 22.34% 18.69% 23.19% 31.08% 29.74% 28.30% 26.89% 22.12% 15.87%
Avg Days To Max Decline   18 19 18 23 18 16 14 17 19 17 16
Avg Max Increase   -2.71% -1.99% -1.64% -4.15% -1.75% -2.24% -3.22% -5.65% -3.66% -4.81% -2.86%
Max Increase   -12.48% -5.35% -7.18% -19.06% -6.16% -8.25% -15.44% -12.38% -20.14% -11.59% -8.82%
Avg Days to Max Increase   12 4 9 12 5 6 7 7 16 7 4
2017 Contract Condition       Yes Yes       Yes Yes    
Action       No Yes       Yes Not Yet    
High 2.928 3.058 3.111 3.078 3.112 3.327 3.290 3.617 3.541 3.365    
Low 2.720 2.872 2.952 2.908 2.945 2.977 2.771 3.213 3.150 2.817    
Close/Last 2.904 3.055 3.066 3.018 2.994 3.095 3.242 3.560 3.259 2.953    

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Newsflash

In 2005 Wheat was trading at a subdued $3.00/bushel. Three years later, the CBOT's soft red had more than quadrupled to $13.00 --- while hard red spring traded in Minneapolis soared to an astonishing $24.00! Now as winter wheat prepares to emerge and spring wheat will soon be planted, all three classes of wheat trade mostly between $4.50 and $5.00.

Look back to 1970: http://www.mrci.com/pdf/w.pdf

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