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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 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   30 30 30 30 30 30 30 31 31 31 31
Closed Higher   11 9 15 13 18 20 19 15 12 11 15
Exceeded High   8 7 11 12 14 20 18 10 8 10 11
Scenario Percentage   73% 78% 73% 92% 78% 100% 95% 67% 67% 91% 73%
Avg Max Increase   7.39% 10.58% 12.93% 14.00% 16.14% 14.00% 12.33% 13.68% 17.28% 28.86% 15.31%
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   13 16 20 23 17 16 15 18 17 17 20
Avg Max Decline   -2.50% -2.05% -2.27% -3.12% -2.10% -3.45% -4.53% -4.68% -5.99% -4.79% -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   6 13 9 9 7 10 10 9 9 5 6
2020 Contract Condition   Yes   Yes     Yes Yes     Yes Yes
Action   Yes   Yes     Yes Yes     Yes Not Yet
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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   30 30 30 30 30 30 30 31 31 31 31
Closed Lower   17 19 15 17 12 10 11 16 19 20 16
Penetrated Low   13 16 13 13 7 10 9 15 16 17 12
Scenario Percentage   76% 84% 87% 76% 58% 100% 82% 94% 84% 85% 75%
Avg Max Decline   11.75% 11.58% 9.41% 11.93% 10.88% 9.36% 13.82% 15.18% 15.24% 15.00% 12.77%
Max Decline   21.74% 28.99% 28.37% 24.63% 21.22% 25.09% 34.29% 26.66% 30.69% 38.37% 33.04%
Avg Days To Max Decline   18 13 15 18 17 22 21 23 22 12 15
Avg Max Increase   -1.93% -2.04% -2.51% -4.32% -3.03% -4.60% -4.63% -5.75% -6.19% -6.16% -4.87%
Max Increase   -6.07% -6.24% -9.20% -10.64% -8.46% -11.44% -10.74% -14.11% -31.42% -14.39% -14.29%
Avg Days to Max Increase   7 8 6 9 6 11 10 11 19 6 6
2020 Contract Condition     Yes   Yes Yes     Yes Yes    
Action     Yes   Yes Yes     Yes No    
High 2.477 2.441 2.496 2.359 2.363 2.214 2.278 2.498 2.588 2.094 2.086 2.743
Low 2.346 2.322 2.285 2.275 2.117 1.937 1.924 2.009 2.004 1.700 1.768 2.003
Close/Last 2.365 2.426 2.289 2.346 2.142 1.973 2.070 2.424 2.068 1.887 1.957 2.630

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