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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   25 27 27 27 27 27 27 27 27 27 27
Closed Higher   17 14 13 12 12 14 9 7 11 11 14
Exceeded High   14 10 8 10 9 11 5 6 9 10 10
Scenario Percentage   82% 71% 62% 83% 75% 79% 56% 86% 82% 91% 71%
Avg Max Increase   9.36% 6.43% 8.41% 11.56% 9.43% 8.19% 14.30% 24.65% 25.07% 22.80% 16.12%
Max Increase   40.87% 14.45% 30.16% 44.89% 22.81% 17.16% 32.21% 36.90% 91.38% 61.63% 51.04%
Avg Days To Max Increase   16 17 14 20 16 17 19 24 20 16 19
Avg Max Decline   -2.69% -1.72% -1.62% -3.39% -2.62% -4.43% -4.78% -1.94% -3.33% -3.65% -3.47%
Max Decline   -7.88% -4.92% -3.92% -11.95% -6.23% -13.58% -11.26% -5.51% -10.03% -9.15% -10.23%
Avg Days to Max Decline   6 10 9 13 6 15 6 2 8 5 4
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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   25 27 27 27 27 27 27 27 27 27 27
Closed Lower   7 13 14 14 15 13 18 20 16 16 13
Penetrated Low   3 7 10 10 12 12 15 17 14 14 10
Scenario Percentage   43% 54% 71% 71% 80% 92% 83% 85% 88% 88% 77%
Avg Max Decline   3.50% 7.84% 8.91% 9.97% 9.89% 10.22% 13.60% 16.59% 15.76% 13.96% 9.83%
Max Decline   5.13% 14.17% 14.58% 19.01% 23.69% 19.10% 24.24% 32.58% 36.48% 31.64% 19.74%
Avg Days To Max Decline   19 21 21 17 15 23 19 17 16 20 17
Avg Max Increase   -2.09% -4.84% -3.48% -2.22% -1.99% -5.40% -2.21% -3.51% -4.08% -7.16% -3.20%
Max Increase   -5.58% -12.86% -13.78% -5.75% -7.55% -21.08% -6.65% -11.97% -23.19% -15.47% -12.03%
Avg Days to Max Increase   8 10 14 3 8 12 4 5 5 8 4
2017 Contract Condition     Yes     Yes Yes       Yes Yes
Action     No     No Yes       Yes Not Yet
High 2.700 2.901 2.905 3.079 3.113 3.082 3.135 3.350 3.273 3.652 3.499 3.263
Low 2.392 2.601 2.693 2.845 2.930 2.895 2.928 2.960 2.727 3.207 3.103 2.641
Close/Last 2.631 2.893 2.877 3.070 3.070 3.024 3.000 3.073 3.230 3.566 3.165 2.774

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