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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, 2019
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   27 28 28 28 28 28 28 28 28 28 28
Closed Higher   12 14 13 13 7 8 12 13 14 19 15
Exceeded High   6 12 10 10 5 6 10 11 10 19 10
Scenario Percentage   50% 86% 77% 77% 71% 75% 83% 85% 71% 100% 67%
Avg Max Increase   8.40% 11.57% 8.28% 7.24% 10.35% 13.52% 16.90% 17.42% 23.92% 15.11% 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% -2.17% -3.84% -3.81% -2.94% -1.82% -3.23% -3.29% -4.89% -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 13 11 5 21 7 9 7 10 3
2018 Contract Condition       Yes Yes   Yes   Yes   Yes  
Action       Yes Yes   No   No   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   27 28 28 28 28 28 28 28 28 28 28
Closed Lower   15 14 15 15 21 20 16 15 14 9 13
Penetrated Low   12 10 12 14 17 16 14 13 10 9 9
Scenario Percentage   80% 71% 80% 93% 81% 80% 88% 87% 71% 100% 69%
Avg Max Decline   7.57% 9.13% 9.07% 8.49% 12.40% 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   17 19 18 22 18 16 14 18 19 17 16
Avg Max Increase   -2.52% -1.99% -1.64% -4.65% -1.87% -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   11 4 9 13 5 6 7 8 16 7 4
2018 Contract Condition   Yes Yes     Yes   Yes   Yes   Yes
Action   Yes No     Yes   No   No   Not Yet
High 2.945 2.902 2.897 2.915 2.980 3.020 2.996 2.927 2.975 2.874 2.873 2.844
Low 2.864 2.808 2.770 2.785 2.890 2.875 2.841 2.550 2.649 2.638 2.676 2.660
Close/Last 2.868 2.844 2.795 2.913 2.930 2.884 2.892 2.773 2.886 2.735 2.778 2.763

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