MRCI's ScenarioSM Study

ScenarioSM Study for July 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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		29	30	30	30	30	30	30	30	30	30	31
Closed Higher		13	14	14	10	9	13	15	16	20	19	13
Exceeded High		10	11	11	8	7	10	13	12	20	18	8
Scenario Percentage		77%	79%	79%	80%	78%	77%	87%	75%	100%	95%	62%
Avg Max Increase		12.91%	7.83%	6.98%	7.75%	11.39%	15.67%	15.28%	19.89%	15.23%	13.26%	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	18	14	20	19	24	18	16	12	13
Avg Max Decline		-3.16%	-2.26%	-3.68%	-2.66%	-3.48%	-1.87%	-3.49%	-2.76%	-4.63%	-5.09%	-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	12	5	20	7	9	9	11	8	2
2020 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		29	30	30	30	30	30	30	30	30	30	31
Closed Lower		16	16	14	19	21	17	15	13	10	11	18
Penetrated Low		13	13	12	14	17	14	12	8	10	8	13
Scenario Percentage		81%	81%	86%	74%	81%	82%	80%	62%	100%	73%	72%
Avg Max Decline		7.68%	8.30%	8.43%	12.62%	13.23%	10.21%	13.44%	12.08%	10.95%	13.95%	10.38%
Max Decline		16.71%	21.80%	18.48%	22.56%	30.46%	28.87%	26.72%	25.30%	28.35%	28.02%	22.12%
Avg Days To Max Decline		19	16	22	19	16	16	22	19	19	17	18
Avg Max Increase		-1.57%	-1.33%	-4.91%	-1.83%	-2.29%	-2.85%	-5.77%	-6.16%	-4.20%	-4.45%	-3.51%
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	8	6	12	12	6	9	4
2020 Contract Condition		Yes	Yes			Yes		Yes	Yes			Yes
Action		Yes	No			Yes		Yes	Yes			Yes
High	2.580	2.547	2.462	2.461	2.422	2.482	2.331	2.332	2.156	2.193	2.300	2.364
Low	2.420	2.381	2.290	2.329	2.304	2.250	2.220	2.061	1.848	1.802	1.825	1.763
Close/Last	2.471	2.435	2.336	2.344	2.404	2.250	2.303	2.086	1.881	1.912	2.170	1.849