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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 Sep 16, 2022
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   31 32 32 32 32 32 32 32 32 32 33
Closed Higher   15 16 15 12 9 13 17 17 21 21 15
Exceeded High   12 13 12 10 7 10 15 12 21 20 11
Scenario Percentage   80% 81% 80% 83% 78% 77% 88% 71% 100% 95% 73%
Avg Max Increase   13.87% 9.08% 7.37% 7.13% 11.39% 15.67% 15.86% 19.89% 17.55% 14.82% 11.90%
Max Increase   40.16% 23.32% 15.07% 16.38% 26.86% 45.30% 32.40% 51.42% 64.12% 49.30% 21.64%
Avg Days To Max Increase   20 19 18 14 20 19 24 18 16 13 15
Avg Max Decline   -2.72% -2.18% -3.62% -2.71% -3.48% -1.87% -3.77% -2.76% -4.51% -5.63% -3.10%
Max Decline   -10.94% -4.34% -12.87% -10.14% -11.21% -5.67% -15.31% -7.01% -8.65% -14.73% -12.76%
Avg Days to Max Decline   13 12 12 5 20 7 8 9 11 11 3
2022 Contract Condition   Yes Yes Yes Yes     Yes   Yes Yes Yes
Action   Yes Yes Yes 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   31 32 32 32 32 32 32 32 32 32 33
Closed Lower   16 16 15 19 23 19 15 14 11 11 18
Penetrated Low   13 13 13 14 19 14 12 8 10 8 13
Scenario Percentage   81% 81% 87% 74% 83% 74% 80% 57% 91% 73% 72%
Avg Max Decline   7.68% 8.30% 8.22% 12.62% 13.05% 10.21% 13.44% 12.08% 10.95% 14.74% 11.19%
Max Decline   16.71% 21.80% 18.48% 22.56% 30.46% 28.87% 26.72% 25.30% 28.35% 34.31% 22.55%
Avg Days To Max Decline   19 16 22 19 16 16 22 19 19 17 18
Avg Max Increase   -1.57% -1.33% -5.29% -1.83% -2.25% -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 15 5 8 6 12 12 6 9 4
2022 Contract Condition           Yes Yes   Yes      
Action           Yes No   No      
High 3.010 3.265 3.484 4.138 4.230 4.354 4.024 4.868 5.121 5.943 8.279 9.447
Low 2.670 2.920 3.208 3.434 3.778 3.839 3.515 3.614 4.009 4.457 5.633 6.521
Close/Last 2.977 3.254 3.430 3.896 4.031 3.977 3.638 4.734 4.511 5.756 7.355 8.145

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