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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Natural Gas(NYM) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   26 27 27 27 28 28 28 28 28 28 28
Closed Higher   14 16 18 20 13 12 11 13 14 9 7
Exceeded High   13 13 18 16 9 6 10 10 12 3 5
Scenario Percentage   93% 81% 100% 80% 69% 50% 91% 77% 86% 33% 71%
Avg Max Increase   11.35% 12.90% 11.85% 11.35% 8.13% 15.76% 18.19% 15.74% 15.33% 29.44% 39.30%
Max Increase   25.04% 31.64% 47.87% 40.48% 14.74% 48.16% 64.91% 28.43% 50.25% 70.50% 84.34%
Avg Days To Max Increase   22 18 17 16 17 15 22 15 18 17 23
Avg Max Decline   -2.20% -2.05% -2.43% -2.57% -2.91% -2.68% -4.41% -2.40% -4.91% -3.37% -3.17%
Max Decline   -4.28% -6.85% -6.57% -9.29% -6.74% -5.99% -13.28% -6.31% -15.91% -6.78% -11.07%
Avg Days to Max Decline   8 7 9 5 14 7 11 7 8 4 5
2017 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   26 27 27 27 28 28 28 28 28 28 28
Closed Lower   11 11 9 7 15 16 17 15 14 19 21
Penetrated Low   11 5 9 6 12 14 15 13 13 17 18
Scenario Percentage   100% 45% 100% 86% 80% 88% 88% 87% 93% 89% 86%
Avg Max Decline   7.45% 9.81% 7.01% 9.46% 9.83% 10.36% 10.56% 12.46% 14.79% 18.59% 13.62%
Max Decline   18.30% 13.87% 20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 32.37% 24.65%
Avg Days To Max Decline   15 20 21 21 22 22 16 17 21 15 16
Avg Max Increase   -3.31% -1.75% -4.20% -3.39% -4.64% -3.01% -3.53% -3.31% -7.02% -6.13% -5.15%
Max Increase   -9.98% -3.06% -11.41% -7.95% -13.60% -8.21% -9.78% -12.23% -25.00% -24.83% -25.37%
Avg Days to Max Increase   8 13 16 12 9 17 6 12 20 9 4
2017 Contract Condition   Yes Yes     Yes   Yes Yes Yes Yes  
Action   Yes No     No   Yes Yes Yes Yes  
High 2.935 3.000 2.858 2.970 3.190 3.148 3.475 3.496 3.443 3.470 3.675 3.367
Low 2.643 2.761 2.500 2.585 2.833 2.895 3.099 3.227 3.142 3.168 3.119 2.722
Close/Last 2.872 2.859 2.598 2.868 3.157 3.126 3.446 3.436 3.326 3.268 3.195 3.352

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