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Forecasting Track Record

Market Variables

Last update: March 4, 2019

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 - February, 2019 171 13% 23% 56% 7% 63% 48% 52%
January, 2017 - February, 2019 112 13% 22% 57% 8% 64% 38% 63%

* - 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 63% 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 (63% of cases).

Last update: March 4, 2019

Trading Results (June, 2018 - February, 2019)

  • Gross Trading Return - calculated as a percentage change between positions' open price and closing price;
  • Net Return (Account Growth) = gross trading return + brokerage fees + the cost of rolls and swaps + interest payments.

last update: March 4, 2019

Executed Trades (January, 2019 - February, 201)

* unleveraged returns; exclude brokerage fees; R - rolled; S - swapped

last update: March 4, 2019.

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