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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 Oct 20, 2019
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   27 28 28 28 29 29 29 29 29 29 29
Closed Higher   15 16 19 20 14 12 11 14 15 10 8
Exceeded High   13 13 19 16 10 6 10 11 13 4 5
Scenario Percentage   87% 81% 100% 80% 71% 50% 91% 79% 87% 40% 63%
Avg Max Increase   11.35% 12.90% 11.42% 11.35% 7.58% 15.76% 18.19% 15.39% 18.51% 34.66% 38.84%
Max Increase   25.04% 31.64% 47.87% 40.48% 14.74% 48.16% 64.91% 28.43% 56.64% 70.50% 84.34%
Avg Days To Max Increase   22 18 18 16 17 15 22 14 18 16 19
Avg Max Decline   -2.20% -2.05% -2.54% -2.57% -2.78% -2.68% -4.41% -2.72% -4.54% -3.27% -2.72%
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 11 5 13 7 11 7 8 3 1
2019 Contract Condition   Yes   Yes   Yes     Yes Yes Yes Yes
Action   No   Yes   Yes     Yes Yes Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   27 28 28 28 29 29 29 29 29 29 29
Closed Lower   11 12 9 8 15 17 18 15 14 19 21
Penetrated Low   11 5 9 7 12 15 16 13 13 17 17
Scenario Percentage   100% 42% 100% 88% 80% 88% 89% 87% 93% 89% 81%
Avg Max Decline   7.45% 9.81% 7.01% 8.48% 9.83% 10.09% 10.12% 12.46% 14.79% 18.47% 13.33%
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 19 22 22 16 17 21 15 14
Avg Max Increase   -3.31% -1.75% -4.20% -3.11% -4.64% -2.82% -3.61% -3.31% -7.02% -5.02% -3.97%
Max Increase   -9.98% -3.06% -11.41% -7.95% -13.60% -8.21% -9.78% -12.23% -25.00% -18.44% -14.45%
Avg Days to Max Increase   8 13 16 10 9 16 7 12 20 7 3
2019 Contract Condition     Yes   Yes   Yes Yes        
Action     No   Yes   Yes Yes        
High 3.247 3.245 3.179 3.158 3.124 3.212 3.250 3.140 3.184 3.266 3.485 4.964
Low 2.911 2.974 2.976 3.016 3.011 2.958 3.115 2.939 2.987 2.930 3.165 3.203
Close/Last 3.081 3.187 3.044 3.095 3.037 3.166 3.135 3.038 3.114 3.169 3.302 4.612

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