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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 Oct 20, 2019
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   29 29 29 29 29 29 29 29 29 30 30
Closed Higher   14 15 10 9 11 15 17 19 18 13 12
Exceeded High   11 11 7 7 8 13 14 19 17 9 5
Scenario Percentage   79% 73% 70% 78% 73% 87% 82% 100% 94% 69% 42%
Avg Max Increase   8.13% 6.82% 8.22% 10.73% 16.30% 14.62% 17.30% 14.60% 14.44% 15.25% 9.37%
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 15 21 19 23 17 17 15 19 14
Avg Max Decline   -2.26% -3.81% -2.89% -2.38% -1.70% -3.22% -2.64% -3.93% -5.32% -5.75% -3.74%
Max Decline   -4.89% -13.01% -9.95% -4.92% -5.68% -5.42% -6.66% -8.17% -12.70% -12.50% -12.28%
Avg Days to Max Decline   9 10 6 18 7 10 9 13 10 12 5
2019 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   29 29 29 29 29 29 29 29 29 30 30
Closed Lower   15 14 19 20 18 14 12 10 11 17 18
Penetrated Low   12 12 15 17 14 11 8 10 9 15 14
Scenario Percentage   80% 86% 79% 85% 78% 79% 67% 100% 82% 88% 78%
Avg Max Decline   8.78% 8.18% 11.75% 12.43% 9.71% 12.61% 10.79% 10.24% 15.07% 14.99% 10.40%
Max Decline   21.05% 17.97% 22.09% 29.97% 28.66% 25.57% 23.91% 27.18% 36.75% 28.58% 16.43%
Avg Days To Max Decline   17 21 19 14 15 18 17 21 20 17 16
Avg Max Increase   -1.69% -3.47% -1.74% -1.94% -2.50% -4.78% -4.18% -4.75% -4.62% -6.84% -2.28%
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 6 6 5 10 11 11 10 9 5
2019 Contract Condition     Yes     Yes     Yes Yes Yes Yes
Action     No     Yes     Yes Yes Yes Not Yet
High 2.713 2.743 2.688 2.779 2.853 2.948 2.954 2.927 3.004 2.849 2.745 2.479
Low 2.616 2.616 2.612 2.674 2.664 2.749 2.666 2.714 2.793 2.563 2.454 2.134
Close/Last 2.658 2.692 2.677 2.727 2.804 2.757 2.865 2.919 2.797 2.641 2.460 2.308

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