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Forecasting Track Record

Market Variables

Last update: January 12, 2020

Weekly Natural Gas Storage Report

Analyzed Data BGR Projection vs EIA Reported Figure** Trading Bias Accuracy***
Time Period Sample Size* 10+ 6-9 ≤5 Zero Total Bullish Bearish
December, 2015 - December, 2019 215 13% 22% 57% 7% 61% 48% 52%
January, 2017 - December, 2019 156 13% 21% 58% 8% 62% 41% 59%

* - number of reports;

** - simple difference in bcf, % share of observations;

*** - trading bias is calculated by subtracting BGR forecast from the consensus forecast (i.e., from market expectations as indicated in the Reuters survey); when BGR projection is below consensus, there is a bullish bias; when BGR projection is above consensus, there is a bearish bias; when there is a bullish bias and EIA then reports a figure that is below consensus, it is assumed that trading bias was predicted correctly. Same logic applies for situations when there is a bearish bias before the report and EIA releases a storage number that is above consensus. EIA revisions are excluded from trading bias calculations. As you can see, historically, we have correctly predicted the trading bias for 61% of reports released since December 2015. When we do get the bias right, it tends to a bearish bias (52%). If we exclude 2016 results and look at a more recent history, we will see that bearish bias had a higher rate of correct predictions (59% of cases).

Last update: January 12, 2020

Trading Results (June, 2018 - December, 2019)

  • Gross Trading Return - calculated as a percentage change between positions' open price and closing price;
  • Net Return (Account Growth) = gross trading return minus brokerage fees minus the cost of leverage, rolls and swaps minus interest payments (if any) + EUR:USD exchange rate adjustment.

last update: January 12, 2020

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