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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   27 28 28 28 28 28 28 28 28 28 29
Closed Higher   13 13 13 8 8 12 14 15 19 18 13
Exceeded High   10 10 10 6 6 9 12 11 19 17 8
Scenario Percentage   77% 77% 77% 75% 75% 75% 86% 73% 100% 94% 62%
Avg Max Increase   12.91% 8.28% 7.08% 8.39% 12.39% 17.27% 16.19% 21.43% 14.78% 13.51% 8.78%
Max Increase   40.16% 22.45% 15.07% 16.38% 26.86% 45.30% 32.40% 51.42% 53.57% 45.35% 19.70%
Avg Days To Max Increase   21 18 19 17 19 19 24 18 17 13 13
Avg Max Decline   -3.16% -2.19% -3.87% -3.10% -3.23% -1.77% -3.30% -2.90% -4.64% -5.25% -3.05%
Max Decline   -10.94% -4.34% -12.87% -10.14% -11.21% -5.67% -6.30% -7.01% -8.65% -14.73% -12.76%
Avg Days to Max Decline   13 12 11 5 18 8 9 8 12 8 2
2018 Contract Condition     Yes Yes   Yes   Yes   Yes   Yes
Action     Yes Yes   No   No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   27 28 28 28 28 28 28 28 28 28 29
Closed Lower   14 15 13 19 20 16 14 12 9 10 16
Penetrated Low   11 13 12 14 16 13 11 7 9 7 11
Scenario Percentage   79% 87% 92% 74% 80% 81% 79% 58% 100% 70% 69%
Avg Max Decline   8.39% 8.30% 8.43% 12.62% 13.53% 10.74% 13.42% 13.21% 10.85% 13.57% 9.36%
Max Decline   16.71% 21.80% 18.48% 22.56% 30.46% 28.87% 26.72% 25.30% 28.35% 28.86% 14.06%
Avg Days To Max Decline   21 16 22 19 15 17 23 20 18 16 17
Avg Max Increase   -1.79% -1.33% -4.91% -1.83% -2.20% -3.00% -5.82% -4.67% -4.45% -4.47% -4.00%
Max Increase   -5.10% -3.76% -19.21% -5.86% -7.26% -12.14% -11.88% -20.94% -11.42% -10.19% -13.44%
Avg Days to Max Increase   4 12 13 5 6 6 9 12 7 7 5
2018 Contract Condition   Yes     Yes   Yes   Yes   Yes  
Action   No     Yes   No   No   Not Yet  
High 2.931 2.920 2.939 3.001 3.043 3.019 2.957 3.010 2.910 2.919 2.878 3.000
Low 2.837 2.797 2.810 2.917 2.911 2.873 2.604 2.688 2.680 2.735 2.714 2.722
Close/Last 2.870 2.821 2.937 2.954 2.918 2.926 2.804 2.924 2.779 2.832 2.800 2.952

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