MRCI's ScenarioSM Study

ScenarioSM Study for June Natural Gas(NYM) as of Nov 09, 2020
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		29	30	30	30	30	30	30	30	30	30	30
Closed Higher		13	14	14	14	9	9	13	14	15	19	16
Exceeded High		7	12	11	11	7	7	10	12	11	19	11
Scenario Percentage		54%	86%	79%	79%	78%	78%	77%	86%	73%	100%	69%
Avg Max Increase		7.44%	11.57%	7.83%	7.14%	9.24%	12.39%	16.90%	16.34%	22.00%	14.97%	14.75%
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		15	21	17	18	15	17	18	21	17	17	14
Avg Max Decline		-1.84%	-3.09%	-2.25%	-3.67%	-3.09%	-2.62%	-1.82%	-3.47%	-3.14%	-4.71%	-3.13%
Max Decline		-3.38%	-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		13	13	12	12	6	19	7	9	7	9	3
2020 Contract Condition					Yes	Yes		Yes				Yes
Action					Yes	Yes		No				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		29	30	30	30	30	30	30	30	30	30	30
Closed Lower		16	16	16	16	21	21	17	16	15	11	14
Penetrated Low		13	12	12	14	17	17	15	14	11	11	9
Scenario Percentage		81%	75%	75%	88%	81%	81%	88%	88%	73%	100%	64%
Avg Max Decline		7.56%	8.24%	9.07%	8.49%	12.40%	14.04%	10.51%	13.05%	11.02%	9.66%	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		17	18	18	22	18	17	13	18	18	17	16
Avg Max Increase		-2.57%	-1.73%	-1.64%	-4.65%	-1.87%	-2.34%	-3.07%	-5.41%	-4.89%	-6.24%	-2.86%
Max Increase		-12.48%	-5.35%	-7.18%	-19.06%	-6.16%	-8.25%	-15.44%	-12.38%	-20.14%	-23.12%	-8.82%
Avg Days to Max Increase		11	3	9	13	5	6	7	10	15	9	4
2020 Contract Condition		Yes	Yes	Yes			Yes		Yes	Yes	Yes
Action		Yes	Yes	No			Yes		Yes	Yes	Yes
High	2.638	2.550	2.506	2.416	2.432	2.383	2.444	2.280	2.279	2.104	2.108	2.100
Low	2.513	2.376	2.332	2.248	2.289	2.255	2.190	2.185	1.989	1.763	1.689	1.649
Close/Last	2.522	2.429	2.388	2.297	2.301	2.360	2.193	2.246	2.015	1.799	1.756	1.949