MRCI's ScenarioSM Study

ScenarioSM Study for February 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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		29	29	29	30	30	30	30	30	30	30	30
Closed Higher		17	19	19	13	11	11	12	15	12	10	11
Exceeded High		14	19	17	10	5	10	10	13	5	7	8
Scenario Percentage		82%	100%	89%	77%	45%	91%	83%	87%	42%	70%	73%
Avg Max Increase		12.28%	11.47%	9.63%	7.27%	14.40%	16.89%	15.63%	17.41%	28.00%	35.07%	16.23%
Max Increase		31.04%	47.84%	40.31%	14.47%	46.67%	62.28%	27.84%	57.18%	63.61%	61.54%	28.65%
Avg Days To Max Increase		16	18	15	19	13	21	16	17	13	20	14
Avg Max Decline		-1.71%	-2.37%	-2.73%	-2.13%	-1.88%	-4.46%	-2.51%	-4.46%	-3.09%	-4.10%	-0.00%
Max Decline		-6.55%	-6.55%	-8.99%	-5.23%	-5.63%	-12.97%	-5.91%	-14.84%	-7.41%	-15.50%	-6.55%
Avg Days to Max Decline		8	9	7	11	6	11	7	12	3	7	5
2020 Contract Condition		Yes							Yes	Yes
Action		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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		29	29	29	30	30	30	30	30	30	30	30
Closed Lower		12	10	10	16	18	19	18	15	18	20	19
Penetrated Low		5	10	8	13	15	17	14	14	15	17	15
Scenario Percentage		42%	100%	80%	81%	83%	89%	78%	93%	83%	85%	79%
Avg Max Decline		9.65%	6.71%	9.63%	9.67%	9.86%	9.35%	11.66%	12.68%	18.33%	22.38%	17.06%
Max Decline		13.86%	20.31%	26.74%	17.21%	19.37%	23.49%	29.36%	21.60%	28.29%	41.55%	30.96%
Avg Days To Max Decline		20	21	18	23	18	15	16	21	20	18	19
Avg Max Increase		-1.50%	-3.89%	-2.97%	-4.10%	-2.72%	-3.10%	-2.90%	-6.76%	-5.69%	-5.01%	-2.79%
Max Increase		-2.89%	-11.49%	-7.98%	-13.78%	-8.56%	-8.87%	-10.56%	-27.12%	-25.13%	-16.00%	-16.03%
Avg Days to Max Increase		10	14	8	9	15	7	9	13	8	7	6
2020 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes			Yes	Yes
Action			Yes	Yes	Yes	Yes	Yes	No			Yes	Yes
High	3.170	3.123	3.178	3.091	3.052	2.853	2.825	2.671	2.917	2.781	2.926	2.468
Low	2.917	2.964	3.029	2.869	2.834	2.556	2.521	2.452	2.548	2.486	2.253	2.151
Close/Last	3.086	3.123	3.029	2.938	2.837	2.677	2.611	2.556	2.588	2.697	2.262	2.189