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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   26 27 27 27 27 28 28 28 28 28 28
Closed Higher   13 13 17 18 20 12 11 13 14 13 8
Exceeded High   9 12 13 18 17 7 6 10 11 11 2
Scenario Percentage   69% 92% 76% 100% 85% 58% 55% 77% 79% 85% 25%
Avg Max Increase   12.93% 12.29% 13.49% 12.18% 10.93% 9.73% 13.88% 19.77% 15.49% 17.55% 26.52%
Max Increase   32.50% 25.43% 34.97% 48.25% 40.77% 15.24% 52.45% 67.45% 32.88% 69.88% 48.46%
Avg Days To Max Increase   20 25 19 17 15 18 11 20 14 17 11
Avg Max Decline   -1.60% -2.17% -2.09% -2.57% -2.82% -2.56% -2.29% -4.43% -2.53% -5.46% -4.22%
Max Decline   -4.82% -4.39% -6.82% -6.82% -9.58% -5.95% -7.11% -13.32% -7.45% -17.06% -7.26%
Avg Days to Max Decline   6 9 5 9 7 10 6 8 7 7 3
2017 Contract Condition   Yes     Yes Yes       Yes    
Action   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   26 27 27 27 27 28 28 28 28 28 28
Closed Lower   13 14 10 9 7 16 17 15 14 15 20
Penetrated Low   11 11 4 9 6 13 15 13 13 14 15
Scenario Percentage   85% 79% 40% 100% 86% 81% 88% 87% 93% 93% 75%
Avg Max Decline   7.73% 9.33% 11.04% 7.22% 10.44% 10.45% 10.80% 11.14% 14.33% 15.23% 10.35%
Max Decline   21.07% 18.72% 14.25% 21.83% 28.01% 19.21% 23.07% 24.65% 30.31% 29.25% 18.72%
Avg Days To Max Decline   13 20 22 20 21 23 21 15 17 18 16
Avg Max Increase   -2.15% -3.76% -1.56% -4.36% -3.66% -5.16% -2.70% -4.26% -2.90% -7.70% -4.39%
Max Increase   -7.66% -8.82% -3.52% -11.38% -8.62% -14.34% -7.63% -10.56% -11.02% -31.20% -16.04%
Avg Days to Max Increase   9 9 5 15 17 11 15 7 10 17 5
2017 Contract Condition     Yes Yes     Yes Yes Yes   Yes Yes
Action     Yes No     Yes Yes Yes   Yes Yes
High 3.470 3.747 3.702 3.602 3.551 3.650 3.674 3.354 3.340 3.238 3.353 3.199
Low 3.042 3.407 3.360 3.106 3.211 3.443 3.311 3.126 3.071 3.050 3.113 2.882
Close/Last 3.436 3.703 3.470 3.239 3.488 3.560 3.317 3.267 3.079 3.232 3.181 2.896

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