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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 Nov 09, 2020
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   29 30 30 30 30 30 30 30 30 30 30
Closed Higher   13 14 14 14 9 9 13 14 15 19 16
Exceeded High   7 12 11 11 7 7 10 12 11 19 11
Scenario Percentage   54% 86% 79% 79% 78% 78% 77% 86% 73% 100% 69%
Avg Max Increase   7.44% 11.57% 7.83% 7.14% 9.24% 12.39% 16.90% 16.34% 22.00% 14.97% 14.75%
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   15 21 17 18 15 17 18 21 17 17 14
Avg Max Decline   -1.84% -3.09% -2.25% -3.67% -3.09% -2.62% -1.82% -3.47% -3.14% -4.71% -3.13%
Max Decline   -3.38% -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   13 13 12 12 6 19 7 9 7 9 3
2020 Contract Condition         Yes Yes   Yes       Yes
Action         Yes Yes   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   29 30 30 30 30 30 30 30 30 30 30
Closed Lower   16 16 16 16 21 21 17 16 15 11 14
Penetrated Low   13 12 12 14 17 17 15 14 11 11 9
Scenario Percentage   81% 75% 75% 88% 81% 81% 88% 88% 73% 100% 64%
Avg Max Decline   7.56% 8.24% 9.07% 8.49% 12.40% 14.04% 10.51% 13.05% 11.02% 9.66% 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 18 18 22 18 17 13 18 18 17 16
Avg Max Increase   -2.57% -1.73% -1.64% -4.65% -1.87% -2.34% -3.07% -5.41% -4.89% -6.24% -2.86%
Max Increase   -12.48% -5.35% -7.18% -19.06% -6.16% -8.25% -15.44% -12.38% -20.14% -23.12% -8.82%
Avg Days to Max Increase   11 3 9 13 5 6 7 10 15 9 4
2020 Contract Condition   Yes Yes Yes     Yes   Yes Yes Yes  
Action   Yes Yes No     Yes   Yes Yes Yes  
High 2.638 2.550 2.506 2.416 2.432 2.383 2.444 2.280 2.279 2.104 2.108 2.100
Low 2.513 2.376 2.332 2.248 2.289 2.255 2.190 2.185 1.989 1.763 1.689 1.649
Close/Last 2.522 2.429 2.388 2.297 2.301 2.360 2.193 2.246 2.015 1.799 1.756 1.949

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