Market Variables
Last update: February 3, 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 - January, 2020 |
219 |
14% |
22% |
57% |
7% |
61% |
49% |
51% |
January, 2018 - January, 2020 |
108 |
17% |
21% |
56% |
6% |
60% |
42% |
58% |
* - 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 (51%). If we exclude 2016 and 2017 results and look at a more recent history, we will see that bearish bias had a higher rate of correct predictions (58% of cases).
Last update: February 3, 2020
Trading Results (June, 2018 - January, 2020)
- 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: February 3, 2020