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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   27 27 27 27 27 27 28 28 28 28 28
Closed Higher   8 13 12 17 18 19 13 12 11 13 14
Exceeded High   6 9 12 13 18 16 8 6 9 11 13
Scenario Percentage   75% 69% 100% 76% 100% 84% 62% 50% 82% 85% 93%
Avg Max Increase   11.08% 13.62% 13.08% 15.22% 13.02% 12.25% 9.66% 18.50% 23.70% 14.44% 10.27%
Max Increase   25.82% 36.54% 27.29% 40.36% 49.68% 42.55% 17.99% 61.21% 71.77% 29.34% 24.50%
Avg Days To Max Increase   14 20 25 19 16 15 19 20 19 13 17
Avg Max Decline   -1.10% -1.40% -2.60% -1.97% -2.75% -3.97% -5.84% -5.21% -6.20% -3.43% -5.15%
Max Decline   -2.54% -5.09% -5.09% -7.06% -7.12% -11.02% -16.13% -16.70% -20.10% -7.84% -14.71%
Avg Days to Max Decline   9 6 13 6 8 8 13 9 10 8 5
2017 Contract Condition   Yes Yes     Yes Yes       Yes  
Action   Yes No     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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   27 27 27 27 27 27 28 28 28 28 28
Closed Lower   19 14 15 10 9 8 15 16 17 15 14
Penetrated Low   16 12 12 5 8 6 12 14 14 14 12
Scenario Percentage   84% 86% 80% 50% 89% 75% 80% 88% 82% 93% 86%
Avg Max Decline   11.10% 8.63% 9.72% 11.51% 8.47% 11.46% 12.17% 12.49% 13.23% 15.67% 9.26%
Max Decline   27.32% 24.57% 20.93% 16.57% 23.43% 30.43% 22.33% 26.51% 25.58% 35.90% 18.78%
Avg Days To Max Decline   14 16 20 21 20 22 21 21 14 14 16
Avg Max Increase   -1.79% -2.36% -4.27% -1.75% -4.11% -3.92% -6.37% -3.50% -4.73% -4.49% -3.62%
Max Increase   -5.70% -8.20% -10.46% -3.88% -11.43% -9.07% -14.01% -9.10% -11.98% -12.58% -15.83%
Avg Days to Max Increase   6 9 7 6 11 10 11 17 7 11 5
2017 Contract Condition       Yes Yes     Yes Yes Yes   Yes
Action       Yes No     Yes Yes Yes   Yes
High 3.388 3.353 3.654 3.596 3.477 3.440 3.536 3.561 3.227 3.198 3.108 3.214
Low 3.056 2.867 3.280 3.242 2.976 3.094 3.312 3.176 2.977 2.913 2.886 2.957
Close/Last 3.172 3.308 3.604 3.348 3.117 3.372 3.435 3.184 3.118 2.920 3.102 3.007

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