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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Natural Gas(NYM) as of Dec 07, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   32 32 32 32 32 32 32 32 33 33 33
Closed Higher   16 13 9 13 16 18 21 22 15 13 13
Exceeded High   12 10 7 11 15 15 21 21 11 9 12
Scenario Percentage   75% 77% 78% 85% 94% 83% 100% 95% 73% 69% 92%
Avg Max Increase   6.45% 6.84% 10.29% 12.98% 14.90% 16.14% 17.03% 15.37% 17.38% 15.27% 16.49%
Max Increase   14.51% 15.76% 25.70% 40.58% 29.66% 48.89% 63.48% 46.20% 38.74% 44.05% 44.41%
Avg Days To Max Increase   17 13 20 18 23 17 17 15 20 17 16
Avg Max Decline   -3.81% -2.78% -2.05% -1.38% -3.35% -2.52% -3.67% -4.84% -4.32% -6.15% -4.69%
Max Decline   -12.68% -9.97% -5.31% -5.36% -15.19% -6.78% -7.94% -12.27% -11.97% -18.51% -11.41%
Avg Days to Max Decline   11 5 14 7 11 8 10 10 9 8 5
2022 Contract Condition   Yes Yes     Yes   Yes Yes Yes   Yes
Action   Yes Yes     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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   32 32 32 32 32 32 32 32 33 33 33
Closed Lower   16 19 23 19 14 14 11 10 18 20 20
Penetrated Low   12 15 20 15 11 9 10 8 16 17 15
Scenario Percentage   75% 79% 87% 79% 79% 64% 91% 80% 89% 85% 75%
Avg Max Decline   8.50% 11.63% 11.87% 9.17% 12.74% 9.35% 9.64% 15.84% 15.91% 14.25% 12.20%
Max Decline   17.97% 22.07% 29.50% 28.61% 25.24% 22.92% 25.63% 35.19% 27.88% 32.40% 26.31%
Avg Days To Max Decline   20 17 14 15 21 16 22 21 23 16 17
Avg Max Increase   -3.84% -1.77% -1.89% -2.35% -4.61% -4.82% -4.55% -3.96% -6.03% -4.59% -4.94%
Max Increase   -10.43% -5.87% -6.49% -10.41% -10.77% -23.15% -11.31% -10.27% -14.77% -13.49% -16.17%
Avg Days to Max Increase   14 7 7 6 11 10 11 10 12 16 4
2022 Contract Condition       Yes Yes   Yes       Yes  
Action       Yes No   No       Yes  
High 3.474 4.115 4.210 4.338 4.010 4.843 5.097 5.917 8.228 9.369 9.598 9.419
Low 3.202 3.435 3.761 3.821 3.515 3.620 4.003 4.457 5.608 6.487 5.327 5.324
Close/Last 3.427 3.884 4.018 3.973 3.645 4.720 4.503 5.731 7.299 8.097 5.392 8.229

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