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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 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   29 30 30 30 30 30 30 30 30 30 31
Closed Higher   13 14 14 10 9 13 15 16 20 19 13
Exceeded High   10 11 11 8 7 10 13 12 20 18 8
Scenario Percentage   77% 79% 79% 80% 78% 77% 87% 75% 100% 95% 62%
Avg Max Increase   12.91% 7.83% 6.98% 7.75% 11.39% 15.67% 15.28% 19.89% 15.23% 13.26% 8.78%
Max Increase   40.16% 22.45% 15.07% 16.38% 26.86% 45.30% 32.40% 51.42% 53.57% 45.35% 19.70%
Avg Days To Max Increase   21 18 18 14 20 19 24 18 16 12 13
Avg Max Decline   -3.16% -2.26% -3.68% -2.66% -3.48% -1.87% -3.49% -2.76% -4.63% -5.09% -3.05%
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 12 12 5 20 7 9 9 11 8 2
2020 Contract Condition       Yes Yes   Yes     Yes Yes  
Action       Yes Yes   Yes     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   29 30 30 30 30 30 30 30 30 30 31
Closed Lower   16 16 14 19 21 17 15 13 10 11 18
Penetrated Low   13 13 12 14 17 14 12 8 10 8 13
Scenario Percentage   81% 81% 86% 74% 81% 82% 80% 62% 100% 73% 72%
Avg Max Decline   7.68% 8.30% 8.43% 12.62% 13.23% 10.21% 13.44% 12.08% 10.95% 13.95% 10.38%
Max Decline   16.71% 21.80% 18.48% 22.56% 30.46% 28.87% 26.72% 25.30% 28.35% 28.02% 22.12%
Avg Days To Max Decline   19 16 22 19 16 16 22 19 19 17 18
Avg Max Increase   -1.57% -1.33% -4.91% -1.83% -2.29% -2.85% -5.77% -6.16% -4.20% -4.45% -3.51%
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   3 12 13 5 8 6 12 12 6 9 4
2020 Contract Condition   Yes Yes     Yes   Yes Yes     Yes
Action   Yes No     Yes   Yes Yes     Yes
High 2.580 2.547 2.462 2.461 2.422 2.482 2.331 2.332 2.156 2.193 2.300 2.364
Low 2.420 2.381 2.290 2.329 2.304 2.250 2.220 2.061 1.848 1.802 1.825 1.763
Close/Last 2.471 2.435 2.336 2.344 2.404 2.250 2.303 2.086 1.881 1.912 2.170 1.849

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