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Forecasting Track Record

Market Variables

Last update: December 5, 2017

Comment: We tend to be very good at forecasting domestic variables (production and consumption), but not so good at predicting external variables (exports and imports). However, our track record in forecasting exports is much better than it is for imports.

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 - November, 2017 106 10% 24% 58% 8% 61% 55% 45%
January, 2017 - November, 2017 47 4% 21% 62% 13% 64% 40% 60%

* - 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 more than 60% of reports released since December 2015. When we do get the bias right, it tends to be a bullish bias (55% of cases). However, 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 (60%).       

Last update: December 1, 2017

Executed Trades

*total return excludes brokerage fees and holding cost / earnings; ** - NG_(Cash) is a CFD, provided by CMC Markets

Last update: December 6, 2017

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