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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   27 28 29 29 29 29 29 29 29 29 29
Closed Higher   19 20 14 12 11 14 14 11 9 11 11
Exceeded High   19 17 10 6 10 12 11 4 6 10 9
Scenario Percentage   100% 85% 71% 50% 91% 86% 79% 36% 67% 91% 82%
Avg Max Increase   11.41% 9.72% 7.15% 13.29% 15.04% 10.34% 11.23% 29.59% 35.01% 33.35% 23.67%
Max Increase   49.20% 41.19% 14.43% 45.89% 59.17% 24.29% 23.36% 55.31% 57.64% 153.60% 112.29%
Avg Days To Max Increase   18 16 18 16 21 13 16 15 19 15 14
Avg Max Decline   -2.50% -2.51% -2.00% -1.99% -4.23% -2.60% -4.38% -3.15% -2.57% -4.22% -5.22%
Max Decline   -6.69% -8.60% -6.33% -5.69% -12.61% -5.93% -14.19% -6.98% -13.09% -15.72% -18.55%
Avg Days to Max Decline   9 8 9 6 10 8 11 3 9 6 3
2019 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   27 28 29 29 29 29 29 29 29 29 29
Closed Lower   8 8 15 17 18 15 15 18 20 18 18
Penetrated Low   8 6 12 13 16 13 13 15 17 17 14
Scenario Percentage   100% 75% 80% 76% 89% 87% 87% 83% 85% 94% 78%
Avg Max Decline   5.71% 4.81% 8.06% 10.03% 9.17% 11.62% 11.97% 16.08% 18.63% 17.53% 13.47%
Max Decline   17.90% 12.62% 17.21% 17.79% 23.20% 29.22% 20.59% 26.00% 36.08% 39.26% 29.56%
Avg Days To Max Decline   21 16 20 20 16 17 22 18 18 16 20
Avg Max Increase   -4.74% -3.31% -4.53% -2.96% -3.03% -2.97% -6.32% -5.38% -3.93% -6.01% -5.62%
Max Increase   -12.76% -7.89% -13.60% -10.34% -8.44% -10.67% -23.13% -26.05% -13.34% -37.04% -22.13%
Avg Days to Max Increase   14 8 10 15 8 11 12 7 6 7 3
2019 Contract Condition     Yes   Yes Yes   Yes     Yes Yes
Action     Yes   Yes Yes   No     Yes Yes
High 3.025 3.018 2.972 3.063 3.113 2.993 3.039 2.968 3.167 4.608 4.304 3.406
Low 2.858 2.893 2.862 2.819 2.980 2.823 2.851 2.810 2.902 2.890 2.841 2.771
Close/Last 2.928 2.955 2.890 3.025 3.002 2.905 2.970 2.923 2.967 4.014 2.851 2.814

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