MRCI's ScenarioSM Study

ScenarioSM Study for August Natural Gas(NYM) as of Jan 01, 2019
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		28	28	28	28	28	28	28	28	28	29	29
Closed Higher		13	15	9	8	11	14	16	19	18	13	12
Exceeded High		10	11	6	6	8	12	13	19	17	9	5
Scenario Percentage		77%	73%	67%	75%	73%	86%	81%	100%	94%	69%	42%
Avg Max Increase		8.62%	6.82%	8.23%	11.63%	16.30%	15.43%	18.40%	14.60%	14.44%	15.02%	8.96%
Max Increase		23.34%	15.36%	15.93%	26.45%	41.51%	29.66%	48.98%	52.12%	47.41%	28.82%	18.75%
Avg Days To Max Increase		20	18	17	20	19	24	17	17	15	18	13
Avg Max Decline		-2.19%	-3.81%	-2.98%	-1.96%	-1.70%	-3.04%	-2.75%	-3.93%	-5.32%	-5.75%	-3.74%
Max Decline		-4.89%	-13.01%	-9.95%	-4.16%	-5.68%	-5.42%	-6.66%	-8.17%	-12.70%	-12.50%	-12.28%
Avg Days to Max Decline		10	10	4	15	7	11	9	13	10	12	5
2018 Contract Condition		Yes	Yes		Yes		Yes		Yes		Yes
Action		Yes	Yes		No		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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		28	28	28	28	28	28	28	28	28	29	29
Closed Lower		15	13	19	20	17	14	12	9	10	16	17
Penetrated Low		12	12	15	17	13	11	8	9	8	14	14
Scenario Percentage		80%	92%	79%	85%	76%	79%	67%	100%	80%	88%	82%
Avg Max Decline		8.78%	8.18%	11.75%	12.43%	10.20%	12.61%	10.79%	10.02%	14.56%	15.09%	10.30%
Max Decline		21.05%	17.97%	22.09%	29.97%	28.66%	25.57%	23.91%	27.18%	36.75%	28.58%	16.07%
Avg Days To Max Decline		17	21	19	14	16	18	17	20	20	17	16
Avg Max Increase		-1.69%	-3.47%	-1.74%	-1.94%	-2.62%	-4.78%	-4.18%	-5.07%	-4.70%	-7.27%	-2.28%
Max Increase		-6.55%	-10.48%	-5.89%	-7.11%	-11.65%	-11.28%	-21.80%	-11.46%	-10.17%	-14.97%	-11.11%
Avg Days to Max Increase		10	11	6	6	5	10	11	12	9	9	5
2018 Contract Condition				Yes		Yes		Yes		Yes		Yes
Action				Yes		No		No		Yes		Yes
High	2.925	2.941	3.006	3.041	3.022	2.961	3.006	2.909	2.929	2.884	3.016	3.043
Low	2.801	2.816	2.909	2.914	2.878	2.608	2.691	2.690	2.760	2.736	2.727	2.883
Close/Last	2.826	2.940	2.956	2.923	2.931	2.807	2.922	2.791	2.847	2.807	2.965	2.924