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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, 2019
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   27 28 28 28 28 29 29 29 29 29 29
Closed Higher   13 14 17 19 20 13 11 13 15 14 9
Exceeded High   9 12 13 19 17 8 6 10 12 12 3
Scenario Percentage   69% 86% 76% 100% 85% 62% 55% 77% 80% 86% 33%
Avg Max Increase   12.93% 12.29% 13.49% 11.74% 10.93% 8.83% 13.88% 19.77% 15.24% 21.04% 34.73%
Max Increase   32.50% 25.43% 34.97% 48.25% 40.77% 15.24% 52.45% 67.45% 32.88% 69.88% 51.15%
Avg Days To Max Increase   20 25 19 18 15 18 11 20 14 17 12
Avg Max Decline   -1.60% -2.17% -2.09% -2.67% -2.82% -2.46% -2.29% -4.43% -2.84% -5.02% -3.79%
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 11 7 9 6 8 8 7 2
2018 Contract Condition     Yes   Yes   Yes     Yes Yes Yes
Action     No   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   27 28 28 28 28 29 29 29 29 29 29
Closed Lower   14 14 11 9 8 16 18 16 14 15 20
Penetrated Low   11 11 4 9 7 13 16 14 13 14 15
Scenario Percentage   79% 79% 36% 100% 88% 81% 89% 88% 93% 93% 75%
Avg Max Decline   7.73% 9.33% 11.04% 7.22% 9.32% 10.45% 10.54% 10.62% 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 19 23 21 15 17 18 16
Avg Max Increase   -2.15% -3.76% -1.56% -4.36% -3.36% -5.16% -2.52% -4.31% -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 15 11 14 8 10 17 5
2018 Contract Condition   Yes   Yes   Yes   Yes Yes      
Action   No   No   Yes   Yes Yes      
High 3.212 3.160 3.159 3.088 3.078 3.040 3.132 3.165 3.050 3.101 3.186 3.409
Low 3.085 2.818 2.887 2.887 2.935 2.927 2.876 3.030 2.854 2.900 2.840 3.085
Close/Last 3.130 2.997 3.096 2.961 3.012 2.954 3.086 3.055 2.952 3.029 3.091 3.261

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