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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   26 27 27 27 27 27 27 27 27 27 28
Closed Higher   13 12 12 8 7 12 13 15 18 18 12
Exceeded High   10 9 9 6 6 9 12 11 18 17 8
Scenario Percentage   77% 75% 75% 75% 86% 75% 92% 73% 100% 94% 67%
Avg Max Increase   12.91% 8.80% 7.54% 8.39% 12.39% 17.27% 16.19% 21.43% 15.27% 14.01% 11.41%
Max Increase   40.16% 22.45% 15.07% 16.38% 26.86% 45.30% 32.40% 51.42% 53.57% 49.30% 21.64%
Avg Days To Max Increase   21 18 18 17 19 19 24 18 16 14 15
Avg Max Decline   -3.16% -2.33% -4.15% -3.10% -3.23% -1.77% -3.30% -2.90% -4.66% -5.67% -4.03%
Max Decline   -10.94% -4.34% -12.87% -10.14% -11.21% -5.67% -6.30% -7.01% -8.65% -14.73% -12.76%
Avg Days to Max Decline   13 10 12 5 18 8 9 8 12 11 3
2017 Contract Condition   Yes     Yes Yes Yes     Yes Yes  
Action   No     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   26 27 27 27 27 27 27 27 27 27 28
Closed Lower   13 15 13 18 20 15 14 11 9 9 16
Penetrated Low   11 13 12 13 16 13 11 7 9 7 11
Scenario Percentage   85% 87% 92% 72% 80% 87% 79% 64% 100% 78% 69%
Avg Max Decline   8.39% 8.30% 8.43% 12.77% 13.53% 10.74% 13.42% 13.21% 10.85% 14.35% 10.08%
Max Decline   16.71% 21.80% 18.48% 22.56% 30.46% 28.87% 26.72% 25.30% 28.35% 34.31% 20.03%
Avg Days To Max Decline   21 16 22 19 15 17 23 20 18 17 18
Avg Max Increase   -1.79% -1.33% -4.91% -1.71% -2.20% -3.00% -5.82% -4.67% -4.45% -4.47% -4.00%
Max Increase   -5.10% -3.76% -19.21% -5.86% -7.26% -12.14% -11.88% -20.94% -11.42% -10.19% -13.44%
Avg Days to Max Increase   4 12 13 4 6 6 9 12 7 7 5
2017 Contract Condition     Yes Yes       Yes Yes     Yes
Action     No Yes       Yes No     Yes
High 3.086 3.142 3.111 3.136 3.349 3.311 3.638 3.577 3.413 3.381 3.489 3.506
Low 2.917 2.985 2.942 2.972 3.008 2.809 3.239 3.187 2.888 3.002 3.209 3.061
Close/Last 3.084 3.095 3.045 3.022 3.126 3.269 3.586 3.300 3.027 3.316 3.353 3.071

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