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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   27 27 27 27 27 27 27 27 28 28 28
Closed Higher   13 9 7 12 12 16 18 19 12 12 10
Exceeded High   9 6 6 10 12 14 18 18 8 8 9
Scenario Percentage   69% 67% 86% 83% 100% 88% 100% 95% 67% 67% 90%
Avg Max Increase   6.35% 8.08% 11.08% 14.17% 15.02% 17.09% 14.65% 14.27% 16.42% 14.51% 13.26%
Max Increase   14.51% 15.76% 25.70% 40.58% 29.66% 48.89% 51.66% 46.20% 29.47% 44.05% 28.45%
Avg Days To Max Increase   17 15 19 18 24 17 16 15 21 16 14
Avg Max Decline   -4.38% -3.11% -1.50% -1.27% -2.79% -2.62% -3.72% -4.83% -5.72% -6.48% -5.13%
Max Decline   -12.68% -9.97% -2.90% -5.36% -5.13% -6.78% -7.94% -12.27% -11.97% -18.51% -11.41%
Avg Days to Max Decline   12 5 10 7 12 8 9 10 11 9 4
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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   27 27 27 27 27 27 27 27 28 28 28
Closed Lower   14 18 20 15 13 11 9 8 16 16 18
Penetrated Low   11 14 17 14 10 8 9 6 14 14 14
Scenario Percentage   79% 78% 85% 93% 77% 73% 100% 75% 88% 88% 78%
Avg Max Decline   8.85% 11.69% 12.22% 9.60% 12.90% 10.19% 9.33% 17.35% 15.71% 15.85% 12.42%
Max Decline   17.97% 22.07% 29.50% 28.61% 25.24% 22.92% 25.63% 35.19% 27.88% 32.40% 26.31%
Avg Days To Max Decline   20 17 14 16 22 17 21 24 22 17 18
Avg Max Increase   -3.28% -1.66% -1.87% -2.46% -4.75% -4.33% -4.86% -4.33% -6.73% -4.30% -4.97%
Max Increase   -10.43% -5.87% -6.49% -10.41% -10.77% -23.15% -11.31% -10.27% -14.77% -13.49% -16.17%
Avg Days to Max Increase   12 6 5 6 10 10 12 10 11 18 4
2017 Contract Condition   Yes       Yes Yes     Yes Yes Yes
Action   Yes       Yes No     Yes Yes Yes
High 3.099 3.125 3.324 3.299 3.600 3.549 3.401 3.386 3.491 3.506 3.143 3.101
Low 2.932 2.965 2.991 2.800 3.215 3.176 2.903 3.019 3.232 3.086 2.879 2.781
Close/Last 3.038 3.010 3.110 3.244 3.552 3.283 3.042 3.318 3.364 3.095 3.031 2.794

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