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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Natural Gas(NYM) as of Apr 02, 2020
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 29 29 29 29 29 29 30 30 30 30
Closed Higher   10 9 14 13 18 19 18 15 12 10 14
Exceeded High   7 7 10 12 14 19 17 10 8 9 11
Scenario Percentage   70% 78% 71% 92% 78% 100% 94% 67% 67% 90% 79%
Avg Max Increase   8.03% 10.58% 14.16% 14.00% 16.14% 13.42% 12.66% 13.68% 17.28% 26.84% 14.69%
Max Increase   15.70% 26.17% 40.28% 29.61% 45.23% 50.99% 44.79% 25.61% 73.17% 68.95% 32.10%
Avg Days To Max Increase   14 16 20 23 17 17 15 18 17 15 20
Avg Max Decline   -2.76% -2.05% -2.26% -3.12% -2.10% -3.48% -4.70% -4.68% -5.99% -5.58% -3.62%
Max Decline   -9.46% -5.13% -5.67% -5.39% -6.85% -7.82% -11.85% -12.50% -17.71% -12.12% -7.53%
Avg Days to Max Decline   7 13 10 9 7 11 10 9 9 5 6
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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 29 29 29 29 29 29 30 30 30 30
Closed Lower   17 18 15 16 11 10 11 15 18 20 16
Penetrated Low   13 15 13 12 6 10 9 14 16 17 12
Scenario Percentage   76% 83% 87% 75% 55% 100% 82% 93% 89% 85% 75%
Avg Max Decline   11.75% 11.85% 9.41% 12.08% 12.28% 9.36% 13.82% 14.99% 15.24% 15.00% 11.86%
Max Decline   21.74% 28.99% 28.37% 24.63% 21.22% 25.09% 34.29% 26.66% 30.69% 38.37% 27.25%
Avg Days To Max Decline   18 12 15 19 18 22 21 22 22 12 15
Avg Max Increase   -1.93% -1.97% -2.51% -4.40% -2.13% -4.60% -4.63% -6.07% -6.19% -6.16% -4.87%
Max Increase   -6.07% -6.24% -9.20% -10.64% -4.47% -11.44% -10.74% -14.11% -31.42% -14.39% -14.29%
Avg Days to Max Increase   7 6 6 9 5 11 10 11 19 6 6
2019 Contract Condition       Yes     Yes Yes Yes Yes Yes  
Action       Yes     Yes Yes Yes Yes Yes  
High 2.689 2.779 2.848 2.945 2.951 2.927 3.000 2.861 2.770 2.515 2.510 2.338
Low 2.612 2.674 2.655 2.744 2.663 2.721 2.809 2.594 2.497 2.156 2.128 2.045
Close/Last 2.680 2.728 2.807 2.752 2.866 2.923 2.813 2.668 2.499 2.311 2.250 2.285

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