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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   26 27 27 27 27 27 27 27 27 27 27
Closed Higher   12 14 12 12 7 7 12 12 14 18 15
Exceeded High   6 12 9 9 5 6 10 11 10 18 10
Scenario Percentage   50% 86% 75% 75% 71% 86% 83% 92% 71% 100% 67%
Avg Max Increase   8.40% 11.57% 8.79% 7.70% 10.35% 13.52% 16.90% 17.42% 23.92% 15.58% 15.26%
Max Increase   27.75% 40.81% 22.49% 14.62% 16.87% 26.34% 49.02% 34.72% 54.16% 52.28% 43.27%
Avg Days To Max Increase   13 21 18 19 20 19 18 22 17 18 15
Avg Max Decline   -1.59% -3.09% -2.31% -4.10% -3.81% -2.94% -1.82% -3.23% -3.29% -4.93% -3.04%
Max Decline   -3.16% -10.98% -4.34% -13.06% -10.47% -10.51% -5.83% -6.29% -8.24% -9.02% -8.56%
Avg Days to Max Decline   9 13 11 12 5 21 7 9 7 10 3
2017 Contract Condition   Yes Yes     Yes Yes Yes     Yes Yes
Action   Yes Yes     Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   26 27 27 27 27 27 27 27 27 27 27
Closed Lower   14 13 15 15 20 20 15 15 13 9 12
Penetrated Low   11 10 12 14 16 16 14 13 10 9 9
Scenario Percentage   79% 77% 80% 93% 80% 80% 93% 87% 77% 100% 75%
Avg Max Decline   8.02% 9.13% 9.07% 8.49% 12.45% 14.33% 11.02% 12.80% 11.28% 9.82% 7.82%
Max Decline   14.02% 17.20% 22.34% 18.69% 23.19% 31.08% 29.74% 28.30% 26.89% 22.12% 15.87%
Avg Days To Max Decline   18 19 18 22 18 16 14 18 19 17 16
Avg Max Increase   -2.71% -1.99% -1.64% -4.65% -1.75% -2.24% -3.22% -5.47% -3.66% -4.81% -2.86%
Max Increase   -12.48% -5.35% -7.18% -19.06% -6.16% -8.25% -15.44% -12.38% -20.14% -11.59% -8.82%
Avg Days to Max Increase   12 4 9 13 5 6 7 8 16 7 4
2017 Contract Condition       Yes Yes       Yes Yes    
Action       No Yes       Yes No    
High 2.928 3.058 3.111 3.078 3.112 3.327 3.290 3.617 3.541 3.365 3.320 3.422
Low 2.720 2.872 2.952 2.908 2.945 2.977 2.771 3.213 3.150 2.817 2.926 3.125
Close/Last 2.904 3.055 3.066 3.018 2.994 3.095 3.242 3.560 3.259 2.953 3.254 3.276

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