MRCI's ScenarioSM Study

ScenarioSM Study for March 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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		28	29	30	30	30	30	30	30	30	30	30
Closed Higher		19	20	14	12	11	14	15	12	9	11	11
Exceeded High		19	17	10	6	10	12	12	5	6	10	9
Scenario Percentage		100%	85%	71%	50%	91%	86%	80%	42%	67%	91%	82%
Avg Max Increase		11.41%	9.72%	7.15%	13.29%	15.04%	10.34%	11.20%	25.31%	35.01%	33.35%	23.67%
Max Increase		49.20%	41.19%	14.43%	45.89%	59.17%	24.29%	23.36%	55.31%	57.64%	153.60%	112.29%
Avg Days To Max Increase		18	16	18	16	21	13	15	13	19	15	14
Avg Max Decline		-2.50%	-2.51%	-2.00%	-1.99%	-4.23%	-2.60%	-4.37%	-2.85%	-2.57%	-4.22%	-5.22%
Max Decline		-6.69%	-8.60%	-6.33%	-5.69%	-12.61%	-5.93%	-14.19%	-6.98%	-13.09%	-15.72%	-18.55%
Avg Days to Max Decline		9	8	9	6	10	8	12	3	9	6	3
2020 Contract Condition								Yes	Yes
Action								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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		28	29	30	30	30	30	30	30	30	30	30
Closed Lower		9	9	16	18	19	16	15	18	21	19	19
Penetrated Low		9	7	13	14	17	13	13	15	18	18	15
Scenario Percentage		100%	78%	81%	78%	89%	81%	87%	83%	86%	95%	79%
Avg Max Decline		5.79%	5.80%	8.23%	9.89%	8.96%	11.62%	11.97%	16.08%	18.57%	17.60%	12.89%
Max Decline		17.90%	12.62%	17.21%	17.79%	23.20%	29.22%	20.59%	26.00%	36.08%	39.26%	29.56%
Avg Days To Max Decline		22	17	21	20	16	17	22	18	19	16	19
Avg Max Increase		-4.40%	-3.35%	-4.22%	-3.12%	-2.98%	-2.97%	-6.32%	-5.38%	-4.13%	-5.80%	-5.48%
Max Increase		-12.76%	-7.89%	-13.60%	-10.34%	-8.44%	-10.67%	-23.13%	-26.05%	-13.34%	-37.04%	-22.13%
Avg Days to Max Increase		14	10	9	14	8	11	12	7	6	8	3
2020 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes			Yes	Yes	Yes
Action		Yes	Yes	Yes	Yes	Yes	No			Yes	Yes	Yes
High	3.000	3.040	2.965	2.924	2.746	2.739	2.590	2.759	2.640	2.778	2.363	2.204
Low	2.850	2.912	2.764	2.728	2.491	2.450	2.392	2.463	2.396	2.190	2.113	1.812
Close/Last	3.000	2.916	2.823	2.730	2.602	2.534	2.473	2.504	2.568	2.198	2.158	1.841