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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   27 27 27 27 27 27 27 27 27 28 28
Closed Higher   12 14 9 7 11 13 16 18 18 12 12
Exceeded High   9 10 6 6 8 12 13 18 17 8 5
Scenario Percentage   75% 71% 67% 86% 73% 92% 81% 100% 94% 67% 42%
Avg Max Increase   9.19% 7.21% 8.23% 11.63% 16.30% 15.43% 18.40% 15.08% 14.44% 16.57% 8.96%
Max Increase   23.34% 15.36% 15.93% 26.45% 41.51% 29.66% 48.98% 52.12% 47.41% 28.82% 18.75%
Avg Days To Max Increase   19 18 17 20 19 24 17 16 15 18 13
Avg Max Decline   -2.31% -4.05% -2.98% -1.96% -1.70% -3.04% -2.75% -3.91% -5.32% -6.12% -3.74%
Max Decline   -4.89% -13.01% -9.95% -4.16% -5.68% -5.42% -6.66% -8.17% -12.70% -12.50% -12.28%
Avg Days to Max Decline   11 11 4 15 7 11 9 11 10 12 5
2017 Contract Condition       Yes Yes Yes     Yes Yes    
Action       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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   27 27 27 27 27 27 27 27 27 28 28
Closed Lower   15 13 18 20 16 14 11 9 9 16 16
Penetrated Low   12 12 14 17 13 11 8 9 7 14 13
Scenario Percentage   80% 92% 78% 85% 81% 79% 73% 100% 78% 88% 81%
Avg Max Decline   8.78% 8.18% 11.82% 12.43% 10.20% 12.61% 10.79% 10.02% 16.23% 15.09% 10.52%
Max Decline   21.05% 17.97% 22.09% 29.97% 28.66% 25.57% 23.91% 27.18% 36.75% 28.58% 16.07%
Avg Days To Max Decline   17 21 19 14 16 18 17 20 22 17 16
Avg Max Increase   -1.69% -3.47% -1.63% -1.94% -2.62% -4.78% -4.18% -5.07% -5.11% -7.27% -2.45%
Max Increase   -6.55% -10.48% -5.89% -7.11% -11.65% -11.28% -21.80% -11.46% -10.17% -14.97% -11.11%
Avg Days to Max Increase   10 11 5 6 5 10 11 12 10 9 5
2017 Contract Condition   Yes Yes       Yes Yes     Yes Yes
Action   No Yes       Yes No     Yes Yes
High 3.153 3.121 3.140 3.343 3.306 3.624 3.575 3.420 3.402 3.507 3.530 3.161
Low 2.991 2.955 2.980 3.008 2.815 3.233 3.192 2.910 3.024 3.240 3.100 2.875
Close/Last 3.104 3.054 3.026 3.126 3.262 3.575 3.303 3.050 3.333 3.380 3.109 3.035

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