MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		27	27	27	27	27	27	27	27	28	28	28
Closed Higher		13	9	7	12	12	16	18	19	12	12	10
Exceeded High		9	6	6	10	12	14	18	18	8	8	9
Scenario Percentage		69%	67%	86%	83%	100%	88%	100%	95%	67%	67%	90%
Avg Max Increase		6.35%	8.08%	11.08%	14.17%	15.02%	17.09%	14.65%	14.27%	16.42%	14.51%	13.26%
Max Increase		14.51%	15.76%	25.70%	40.58%	29.66%	48.89%	51.66%	46.20%	29.47%	44.05%	28.45%
Avg Days To Max Increase		17	15	19	18	24	17	16	15	21	16	14
Avg Max Decline		-4.38%	-3.11%	-1.50%	-1.27%	-2.79%	-2.62%	-3.72%	-4.83%	-5.72%	-6.48%	-5.13%
Max Decline		-12.68%	-9.97%	-2.90%	-5.36%	-5.13%	-6.78%	-7.94%	-12.27%	-11.97%	-18.51%	-11.41%
Avg Days to Max Decline		12	5	10	7	12	8	9	10	11	9	4
2017 Contract Condition			Yes	Yes	Yes			Yes	Yes
Action			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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		27	27	27	27	27	27	27	27	28	28	28
Closed Lower		14	18	20	15	13	11	9	8	16	16	18
Penetrated Low		11	14	17	14	10	8	9	6	14	14	14
Scenario Percentage		79%	78%	85%	93%	77%	73%	100%	75%	88%	88%	78%
Avg Max Decline		8.85%	11.69%	12.22%	9.60%	12.90%	10.19%	9.33%	17.35%	15.71%	15.85%	12.42%
Max Decline		17.97%	22.07%	29.50%	28.61%	25.24%	22.92%	25.63%	35.19%	27.88%	32.40%	26.31%
Avg Days To Max Decline		20	17	14	16	22	17	21	24	22	17	18
Avg Max Increase		-3.28%	-1.66%	-1.87%	-2.46%	-4.75%	-4.33%	-4.86%	-4.33%	-6.73%	-4.30%	-4.97%
Max Increase		-10.43%	-5.87%	-6.49%	-10.41%	-10.77%	-23.15%	-11.31%	-10.27%	-14.77%	-13.49%	-16.17%
Avg Days to Max Increase		12	6	5	6	10	10	12	10	11	18	4
2017 Contract Condition		Yes				Yes	Yes			Yes	Yes	Yes
Action		Yes				Yes	No			Yes	Yes	Yes
High	3.099	3.125	3.324	3.299	3.600	3.549	3.401	3.386	3.491	3.506	3.143	3.101
Low	2.932	2.965	2.991	2.800	3.215	3.176	2.903	3.019	3.232	3.086	2.879	2.781
Close/Last	3.038	3.010	3.110	3.244	3.552	3.283	3.042	3.318	3.364	3.095	3.031	2.794