MRCI's ScenarioSM Study

ScenarioSM Study for July Natural Gas(NYM) as of Oct 20, 2019
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		28	29	29	29	29	29	29	29	29	29	30
Closed Higher		13	14	13	9	9	12	15	16	19	18	13
Exceeded High		10	11	10	7	7	9	13	12	19	17	8
Scenario Percentage		77%	79%	77%	78%	78%	75%	87%	75%	100%	94%	62%
Avg Max Increase		12.91%	7.83%	7.08%	8.39%	11.39%	17.27%	15.28%	19.89%	14.78%	13.51%	8.78%
Max Increase		40.16%	22.45%	15.07%	16.38%	26.86%	45.30%	32.40%	51.42%	53.57%	45.35%	19.70%
Avg Days To Max Increase		21	18	19	15	20	19	24	18	17	13	13
Avg Max Decline		-3.16%	-2.26%	-3.87%	-2.95%	-3.48%	-1.77%	-3.49%	-2.76%	-4.64%	-5.25%	-3.05%
Max Decline		-10.94%	-4.34%	-12.87%	-10.14%	-11.21%	-5.67%	-6.30%	-7.01%	-8.65%	-14.73%	-12.76%
Avg Days to Max Decline		13	12	11	6	20	8	9	9	12	8	2
2019 Contract Condition			Yes		Yes	Yes		Yes	Yes
Action			Yes		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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		28	29	29	29	29	29	29	29	29	29	30
Closed Lower		15	15	14	19	20	17	14	12	10	11	17
Penetrated Low		12	13	12	14	16	14	11	7	10	8	12
Scenario Percentage		80%	87%	86%	74%	80%	82%	79%	58%	100%	73%	71%
Avg Max Decline		7.83%	8.30%	8.43%	12.62%	13.53%	10.21%	13.42%	13.21%	10.95%	13.95%	9.40%
Max Decline		16.71%	21.80%	18.48%	22.56%	30.46%	28.87%	26.72%	25.30%	28.35%	28.02%	14.06%
Avg Days To Max Decline		19	16	22	19	15	16	23	20	19	17	17
Avg Max Increase		-1.61%	-1.33%	-4.91%	-1.83%	-2.20%	-2.85%	-5.82%	-4.67%	-4.20%	-4.45%	-3.73%
Max Increase		-5.10%	-3.76%	-19.21%	-5.86%	-7.26%	-12.14%	-11.88%	-20.94%	-11.42%	-10.19%	-13.44%
Avg Days to Max Increase		3	12	13	5	6	6	9	12	6	9	4
2019 Contract Condition		Yes		Yes			Yes			Yes	Yes	Yes
Action		Yes		No			Yes			Yes	Yes	Yes
High	2.723	2.706	2.740	2.692	2.778	2.857	2.952	2.956	2.919	2.990	2.827	2.731
Low	2.641	2.608	2.607	2.608	2.671	2.667	2.751	2.666	2.701	2.768	2.534	2.444
Close/Last	2.695	2.651	2.690	2.675	2.722	2.805	2.760	2.865	2.905	2.772	2.617	2.454