MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		28	28	28	28	28	28	28	28	29	29	29
Closed Higher		14	9	8	12	13	16	19	19	13	12	10
Exceeded High		10	6	6	10	12	14	19	18	9	8	9
Scenario Percentage		71%	67%	75%	83%	92%	88%	100%	95%	69%	67%	90%
Avg Max Increase		6.01%	8.08%	11.08%	14.17%	15.02%	17.09%	14.19%	14.27%	14.87%	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	17	15	20	16	14
Avg Max Decline		-4.08%	-3.11%	-1.50%	-1.27%	-2.79%	-2.62%	-3.75%	-4.83%	-5.37%	-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		11	5	10	7	12	8	10	10	11	9	4
2018 Contract Condition		Yes		Yes		Yes		Yes		Yes
Action		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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		28	28	28	28	28	28	28	28	29	29	29
Closed Lower		14	19	20	16	13	12	9	9	16	17	19
Penetrated Low		11	15	17	14	10	8	9	7	14	15	14
Scenario Percentage		79%	79%	85%	88%	77%	67%	100%	78%	88%	88%	74%
Avg Max Decline		8.85%	11.63%	12.22%	9.60%	12.90%	10.19%	9.33%	15.28%	15.71%	15.32%	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	22	22	17	18
Avg Max Increase		-3.28%	-1.77%	-1.87%	-2.46%	-4.75%	-4.33%	-4.86%	-3.97%	-6.73%	-4.00%	-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	7	5	6	10	10	12	8	11	17	4
2018 Contract Condition			Yes		Yes		Yes		Yes		Yes	Yes
Action			Yes		No		No		Yes		Yes	Not Yet
High	2.919	2.985	3.021	3.005	2.947	2.980	2.891	2.908	2.866	2.998	3.018	2.896
Low	2.800	2.896	2.893	2.868	2.592	2.673	2.674	2.747	2.731	2.711	2.867	2.671
Close/Last	2.916	2.935	2.906	2.914	2.789	2.903	2.773	2.833	2.790	2.944	2.901	2.782