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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   28 28 28 28 28 28 28 28 29 29 29
Closed Higher   14 9 8 12 13 16 19 19 13 12 10
Exceeded High   10 6 6 10 12 14 19 18 9 8 9
Scenario Percentage   71% 67% 75% 83% 92% 88% 100% 95% 69% 67% 90%
Avg Max Increase   6.01% 8.08% 11.08% 14.17% 15.02% 17.09% 14.19% 14.27% 14.87% 14.51% 13.26%
Max Increase   14.51% 15.76% 25.70% 40.58% 29.66% 48.89% 51.66% 46.20% 29.47% 44.05% 28.45%
Avg Days To Max Increase   17 15 19 18 24 17 17 15 20 16 14
Avg Max Decline   -4.08% -3.11% -1.50% -1.27% -2.79% -2.62% -3.75% -4.83% -5.37% -6.48% -5.13%
Max Decline   -12.68% -9.97% -2.90% -5.36% -5.13% -6.78% -7.94% -12.27% -11.97% -18.51% -11.41%
Avg Days to Max Decline   11 5 10 7 12 8 10 10 11 9 4
2018 Contract Condition   Yes   Yes   Yes   Yes   Yes    
Action   Yes   No   No   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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   28 28 28 28 28 28 28 28 29 29 29
Closed Lower   14 19 20 16 13 12 9 9 16 17 19
Penetrated Low   11 15 17 14 10 8 9 7 14 15 14
Scenario Percentage   79% 79% 85% 88% 77% 67% 100% 78% 88% 88% 74%
Avg Max Decline   8.85% 11.63% 12.22% 9.60% 12.90% 10.19% 9.33% 15.28% 15.71% 15.32% 12.42%
Max Decline   17.97% 22.07% 29.50% 28.61% 25.24% 22.92% 25.63% 35.19% 27.88% 32.40% 26.31%
Avg Days To Max Decline   20 17 14 16 22 17 21 22 22 17 18
Avg Max Increase   -3.28% -1.77% -1.87% -2.46% -4.75% -4.33% -4.86% -3.97% -6.73% -4.00% -4.97%
Max Increase   -10.43% -5.87% -6.49% -10.41% -10.77% -23.15% -11.31% -10.27% -14.77% -13.49% -16.17%
Avg Days to Max Increase   12 7 5 6 10 10 12 8 11 17 4
2018 Contract Condition     Yes   Yes   Yes   Yes   Yes Yes
Action     Yes   No   No   Yes   Yes Not Yet
High 2.919 2.985 3.021 3.005 2.947 2.980 2.891 2.908 2.866 2.998 3.018 2.896
Low 2.800 2.896 2.893 2.868 2.592 2.673 2.674 2.747 2.731 2.711 2.867 2.671
Close/Last 2.916 2.935 2.906 2.914 2.789 2.903 2.773 2.833 2.790 2.944 2.901 2.782

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