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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, 2019
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   28 28 28 28 28 28 29 29 29 29 29
Closed Higher   9 13 13 17 19 19 14 12 11 14 15
Exceeded High   6 9 12 13 19 16 9 6 9 12 14
Scenario Percentage   67% 69% 92% 76% 100% 84% 64% 50% 82% 86% 93%
Avg Max Increase   11.08% 13.62% 13.08% 15.22% 12.60% 12.25% 8.88% 18.50% 23.70% 15.04% 10.92%
Max Increase   25.82% 36.54% 27.29% 40.36% 49.68% 42.55% 17.99% 61.21% 71.77% 36.43% 25.39%
Avg Days To Max Increase   14 20 25 19 17 15 19 20 19 13 17
Avg Max Decline   -1.10% -1.40% -2.60% -1.97% -2.82% -3.97% -5.43% -5.21% -6.20% -3.68% -4.80%
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 10 8 12 9 10 8 5
2018 Contract Condition   Yes   Yes   Yes   Yes     Yes Yes
Action   No   No   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   28 28 28 28 28 28 29 29 29 29 29
Closed Lower   19 15 15 11 9 9 15 17 18 15 14
Penetrated Low   16 12 12 5 8 7 12 15 14 14 12
Scenario Percentage   84% 80% 80% 45% 89% 78% 80% 88% 78% 93% 86%
Avg Max Decline   11.10% 8.63% 9.72% 11.51% 8.47% 10.20% 12.17% 12.14% 13.23% 16.35% 10.25%
Max Decline   27.32% 24.57% 20.93% 16.57% 23.43% 30.43% 22.33% 26.51% 25.58% 35.90% 22.82%
Avg Days To Max Decline   14 16 20 21 20 20 21 21 14 16 19
Avg Max Increase   -1.79% -2.36% -4.27% -1.75% -4.11% -3.61% -6.37% -3.26% -4.73% -5.35% -5.25%
Max Increase   -5.70% -8.20% -10.46% -3.88% -11.43% -9.07% -14.01% -9.10% -11.98% -16.44% -20.08%
Avg Days to Max Increase   6 9 7 6 11 9 11 16 7 13 6
2018 Contract Condition     Yes   Yes   Yes   Yes Yes    
Action     No   No   Yes   Yes No    
High 3.085 3.085 3.030 3.039 2.957 2.965 2.921 3.036 3.064 2.946 3.013 3.111
Low 2.966 2.942 2.673 2.756 2.751 2.805 2.798 2.768 2.919 2.737 2.793 2.747
Close/Last 2.988 2.993 2.867 2.968 2.838 2.889 2.843 2.986 2.949 2.843 2.939 3.008

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