MRCI's ScenarioSM Study

ScenarioSM Study for January 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		26	27	27	27	28	28	28	28	28	28	28
Closed Higher		14	16	18	20	13	12	11	13	14	9	7
Exceeded High		13	13	18	16	9	6	10	10	12	3	5
Scenario Percentage		93%	81%	100%	80%	69%	50%	91%	77%	86%	33%	71%
Avg Max Increase		11.35%	12.90%	11.85%	11.35%	8.13%	15.76%	18.19%	15.74%	15.33%	29.44%	39.30%
Max Increase		25.04%	31.64%	47.87%	40.48%	14.74%	48.16%	64.91%	28.43%	50.25%	70.50%	84.34%
Avg Days To Max Increase		22	18	17	16	17	15	22	15	18	17	23
Avg Max Decline		-2.20%	-2.05%	-2.43%	-2.57%	-2.91%	-2.68%	-4.41%	-2.40%	-4.91%	-3.37%	-3.17%
Max Decline		-4.28%	-6.85%	-6.57%	-9.29%	-6.74%	-5.99%	-13.28%	-6.31%	-15.91%	-6.78%	-11.07%
Avg Days to Max Decline		8	7	9	5	14	7	11	7	8	4	5
2017 Contract Condition				Yes	Yes		Yes					Yes
Action				Yes	Yes		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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		26	27	27	27	28	28	28	28	28	28	28
Closed Lower		11	11	9	7	15	16	17	15	14	19	21
Penetrated Low		11	5	9	6	12	14	15	13	13	17	18
Scenario Percentage		100%	45%	100%	86%	80%	88%	88%	87%	93%	89%	86%
Avg Max Decline		7.45%	9.81%	7.01%	9.46%	9.83%	10.36%	10.56%	12.46%	14.79%	18.59%	13.62%
Max Decline		18.30%	13.87%	20.78%	26.58%	17.81%	21.28%	23.85%	29.96%	23.74%	32.37%	24.65%
Avg Days To Max Decline		15	20	21	21	22	22	16	17	21	15	16
Avg Max Increase		-3.31%	-1.75%	-4.20%	-3.39%	-4.64%	-3.01%	-3.53%	-3.31%	-7.02%	-6.13%	-5.15%
Max Increase		-9.98%	-3.06%	-11.41%	-7.95%	-13.60%	-8.21%	-9.78%	-12.23%	-25.00%	-24.83%	-25.37%
Avg Days to Max Increase		8	13	16	12	9	17	6	12	20	9	4
2017 Contract Condition		Yes	Yes			Yes		Yes	Yes	Yes	Yes
Action		Yes	No			No		Yes	Yes	Yes	Yes
High	2.935	3.000	2.858	2.970	3.190	3.148	3.475	3.496	3.443	3.470	3.675	3.367
Low	2.643	2.761	2.500	2.585	2.833	2.895	3.099	3.227	3.142	3.168	3.119	2.722
Close/Last	2.872	2.859	2.598	2.868	3.157	3.126	3.446	3.436	3.326	3.268	3.195	3.352