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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 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   30 30 30 30 30 30 30 30 30 31 31
Closed Higher   14 16 11 9 12 15 17 20 19 13 12
Exceeded High   11 12 8 7 9 13 14 20 18 9 5
Scenario Percentage   79% 75% 73% 78% 75% 87% 82% 100% 95% 69% 42%
Avg Max Increase   8.13% 6.73% 7.57% 10.73% 14.61% 14.62% 17.30% 15.05% 14.06% 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 17 14 21 19 23 17 16 14 19 14
Avg Max Decline   -2.26% -3.61% -2.61% -2.38% -1.80% -3.22% -2.64% -3.93% -5.14% -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 5 18 7 10 9 12 10 12 5
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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   30 30 30 30 30 30 30 30 30 31 31
Closed Lower   16 14 19 21 18 15 13 10 11 18 19
Penetrated Low   12 12 15 18 14 12 9 10 9 16 14
Scenario Percentage   75% 86% 79% 86% 78% 80% 69% 100% 82% 89% 74%
Avg Max Decline   8.78% 8.18% 11.75% 12.18% 9.71% 12.57% 9.94% 10.24% 15.07% 15.42% 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 15 15 18 17 21 20 18 16
Avg Max Increase   -1.69% -3.47% -1.74% -2.02% -2.50% -4.83% -5.51% -4.75% -4.62% -6.48% -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 8 5 12 11 11 10 8 5
2020 Contract Condition   Yes     Yes   Yes Yes     Yes Yes
Action   No     Yes   Yes Yes     Yes Not Yet
High 2.577 2.477 2.467 2.426 2.486 2.344 2.345 2.181 2.228 2.390 2.447 1.960
Low 2.394 2.297 2.339 2.315 2.265 2.251 2.090 1.884 1.858 1.900 1.862 1.517
Close/Last 2.446 2.345 2.350 2.413 2.268 2.319 2.115 1.918 1.978 2.275 1.940 1.751

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