MRCI's ScenarioSM Study

ScenarioSM Study for July Natural Gas(NYM) as of Jan 01, 2018
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		26	27	27	27	27	27	27	27	27	27	28
Closed Higher		13	12	12	8	7	12	13	15	18	18	12
Exceeded High		10	9	9	6	6	9	12	11	18	17	8
Scenario Percentage		77%	75%	75%	75%	86%	75%	92%	73%	100%	94%	67%
Avg Max Increase		12.91%	8.80%	7.54%	8.39%	12.39%	17.27%	16.19%	21.43%	15.27%	14.01%	11.41%
Max Increase		40.16%	22.45%	15.07%	16.38%	26.86%	45.30%	32.40%	51.42%	53.57%	49.30%	21.64%
Avg Days To Max Increase		21	18	18	17	19	19	24	18	16	14	15
Avg Max Decline		-3.16%	-2.33%	-4.15%	-3.10%	-3.23%	-1.77%	-3.30%	-2.90%	-4.66%	-5.67%	-4.03%
Max Decline		-10.94%	-4.34%	-12.87%	-10.14%	-11.21%	-5.67%	-6.30%	-7.01%	-8.65%	-14.73%	-12.76%
Avg Days to Max Decline		13	10	12	5	18	8	9	8	12	11	3
2017 Contract Condition		Yes			Yes	Yes	Yes			Yes	Yes
Action		No			Yes	Yes	No			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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		26	27	27	27	27	27	27	27	27	27	28
Closed Lower		13	15	13	18	20	15	14	11	9	9	16
Penetrated Low		11	13	12	13	16	13	11	7	9	7	11
Scenario Percentage		85%	87%	92%	72%	80%	87%	79%	64%	100%	78%	69%
Avg Max Decline		8.39%	8.30%	8.43%	12.77%	13.53%	10.74%	13.42%	13.21%	10.85%	14.35%	10.08%
Max Decline		16.71%	21.80%	18.48%	22.56%	30.46%	28.87%	26.72%	25.30%	28.35%	34.31%	20.03%
Avg Days To Max Decline		21	16	22	19	15	17	23	20	18	17	18
Avg Max Increase		-1.79%	-1.33%	-4.91%	-1.71%	-2.20%	-3.00%	-5.82%	-4.67%	-4.45%	-4.47%	-4.00%
Max Increase		-5.10%	-3.76%	-19.21%	-5.86%	-7.26%	-12.14%	-11.88%	-20.94%	-11.42%	-10.19%	-13.44%
Avg Days to Max Increase		4	12	13	4	6	6	9	12	7	7	5
2017 Contract Condition			Yes	Yes				Yes	Yes			Yes
Action			No	Yes				Yes	No			Yes
High	3.086	3.142	3.111	3.136	3.349	3.311	3.638	3.577	3.413	3.381	3.489	3.506
Low	2.917	2.985	2.942	2.972	3.008	2.809	3.239	3.187	2.888	3.002	3.209	3.061
Close/Last	3.084	3.095	3.045	3.022	3.126	3.269	3.586	3.300	3.027	3.316	3.353	3.071