MRCI's ScenarioSM Study

ScenarioSM Study for January Natural Gas(NYM) as of Jun 08, 2020
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		28	29	29	29	30	30	30	30	30	30	30
Closed Higher		16	17	19	20	14	12	11	14	16	11	8
Exceeded High		14	14	19	16	10	6	10	11	14	5	5
Scenario Percentage		88%	82%	100%	80%	71%	50%	91%	79%	88%	45%	63%
Avg Max Increase		10.72%	12.11%	11.42%	11.35%	7.58%	15.76%	18.19%	15.39%	18.16%	29.55%	38.84%
Max Increase		25.04%	31.64%	47.87%	40.48%	14.74%	48.16%	64.91%	28.43%	56.64%	70.50%	84.34%
Avg Days To Max Increase		21	17	18	16	17	15	22	14	17	14	19
Avg Max Decline		-2.38%	-1.95%	-2.54%	-2.57%	-2.78%	-2.68%	-4.41%	-2.72%	-4.50%	-3.03%	-2.72%
Max Decline		-4.65%	-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	6	11	5	13	7	11	7	8	3	1
2020 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		28	29	29	29	30	30	30	30	30	30	30
Closed Lower		11	12	10	9	16	18	19	16	14	19	22
Penetrated Low		11	5	10	8	13	16	17	13	13	17	18
Scenario Percentage		100%	42%	100%	89%	81%	89%	89%	81%	93%	89%	82%
Avg Max Decline		7.45%	9.81%	7.01%	9.15%	9.95%	10.00%	9.90%	12.46%	14.79%	18.47%	12.89%
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	22	19	23	21	15	17	21	15	13
Avg Max Increase		-3.31%	-1.75%	-4.00%	-3.17%	-4.33%	-3.01%	-3.54%	-3.31%	-7.02%	-5.02%	-4.30%
Max Increase		-9.98%	-3.06%	-11.41%	-7.95%	-13.60%	-8.21%	-9.78%	-12.23%	-25.00%	-18.44%	-14.45%
Avg Days to Max Increase		8	13	15	11	9	16	6	12	20	7	3
2020 Contract Condition				Yes	Yes	Yes	Yes	Yes	Yes			Yes
Action				Yes	Yes	Yes	Yes	Yes	No			Yes
High	3.245	3.240	3.184	3.243	3.154	3.095	2.890	2.865	2.706	2.978	2.826	2.980
Low	3.055	2.975	3.016	3.083	2.918	2.871	2.574	2.546	2.474	2.577	2.520	2.270
Close/Last	3.063	3.163	3.184	3.087	2.987	2.874	2.707	2.641	2.588	2.622	2.732	2.281