MRCI's ScenarioSM Study

ScenarioSM Study for June 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		26	27	27	27	27	27	27	27	27	27	27
Closed Higher		12	14	12	12	7	7	12	12	14	18	15
Exceeded High		6	12	9	9	5	6	10	11	10	18	10
Scenario Percentage		50%	86%	75%	75%	71%	86%	83%	92%	71%	100%	67%
Avg Max Increase		8.40%	11.57%	8.79%	7.70%	10.35%	13.52%	16.90%	17.42%	23.92%	15.58%	15.26%
Max Increase		27.75%	40.81%	22.49%	14.62%	16.87%	26.34%	49.02%	34.72%	54.16%	52.28%	43.27%
Avg Days To Max Increase		13	21	18	19	20	19	18	22	17	18	15
Avg Max Decline		-1.59%	-3.09%	-2.31%	-4.10%	-3.81%	-2.94%	-1.82%	-3.23%	-3.29%	-4.93%	-3.04%
Max Decline		-3.16%	-10.98%	-4.34%	-13.06%	-10.47%	-10.51%	-5.83%	-6.29%	-8.24%	-9.02%	-8.56%
Avg Days to Max Decline		9	13	11	12	5	21	7	9	7	10	3
2017 Contract Condition		Yes	Yes			Yes	Yes	Yes			Yes	Yes
Action		Yes	Yes			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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		26	27	27	27	27	27	27	27	27	27	27
Closed Lower		14	13	15	15	20	20	15	15	13	9	12
Penetrated Low		11	10	12	14	16	16	14	13	10	9	9
Scenario Percentage		79%	77%	80%	93%	80%	80%	93%	87%	77%	100%	75%
Avg Max Decline		8.02%	9.13%	9.07%	8.49%	12.45%	14.33%	11.02%	12.80%	11.28%	9.82%	7.82%
Max Decline		14.02%	17.20%	22.34%	18.69%	23.19%	31.08%	29.74%	28.30%	26.89%	22.12%	15.87%
Avg Days To Max Decline		18	19	18	22	18	16	14	18	19	17	16
Avg Max Increase		-2.71%	-1.99%	-1.64%	-4.65%	-1.75%	-2.24%	-3.22%	-5.47%	-3.66%	-4.81%	-2.86%
Max Increase		-12.48%	-5.35%	-7.18%	-19.06%	-6.16%	-8.25%	-15.44%	-12.38%	-20.14%	-11.59%	-8.82%
Avg Days to Max Increase		12	4	9	13	5	6	7	8	16	7	4
2017 Contract Condition				Yes	Yes				Yes	Yes
Action				No	Yes				Yes	No
High	2.928	3.058	3.111	3.078	3.112	3.327	3.290	3.617	3.541	3.365	3.320	3.422
Low	2.720	2.872	2.952	2.908	2.945	2.977	2.771	3.213	3.150	2.817	2.926	3.125
Close/Last	2.904	3.055	3.066	3.018	2.994	3.095	3.242	3.560	3.259	2.953	3.254	3.276