MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		29	29	29	29	29	29	29	29	30	30	30
Closed Higher		14	10	9	12	14	17	19	19	13	12	10
Exceeded High		10	7	7	10	13	15	19	18	9	8	9
Scenario Percentage		71%	70%	78%	83%	93%	88%	100%	95%	69%	67%	90%
Avg Max Increase		6.01%	8.04%	10.29%	14.17%	14.27%	16.14%	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	14	20	18	23	17	17	15	20	16	14
Avg Max Decline		-4.08%	-3.04%	-2.05%	-1.27%	-2.97%	-2.52%	-3.75%	-4.83%	-5.37%	-6.48%	-5.13%
Max Decline		-12.68%	-9.97%	-5.31%	-5.36%	-5.14%	-6.78%	-7.94%	-12.27%	-11.97%	-18.51%	-11.41%
Avg Days to Max Decline		11	6	14	7	12	8	10	10	11	9	4
2019 Contract Condition			Yes	Yes		Yes	Yes
Action			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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		29	29	29	29	29	29	29	29	30	30	30
Closed Lower		15	19	20	17	13	12	10	10	17	18	20
Penetrated Low		11	15	17	15	10	8	10	8	15	16	15
Scenario Percentage		73%	79%	85%	88%	77%	67%	100%	80%	88%	89%	75%
Avg Max Decline		8.85%	11.63%	12.22%	9.17%	12.90%	10.19%	9.64%	15.84%	15.61%	14.86%	12.20%
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	15	22	17	22	21	22	16	17
Avg Max Increase		-3.28%	-1.77%	-1.87%	-2.35%	-4.75%	-4.33%	-4.55%	-3.96%	-6.35%	-4.28%	-4.94%
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	11	10	13	17	4
2019 Contract Condition		Yes			Yes			Yes	Yes	Yes	Yes	Yes
Action		No			Yes			Yes	Yes	Yes	Yes	Yes
High	2.727	2.670	2.758	2.831	2.921	2.940	2.913	2.991	2.843	2.741	2.466	2.476
Low	2.598	2.594	2.660	2.638	2.718	2.637	2.695	2.789	2.559	2.447	2.115	2.101
Close/Last	2.672	2.660	2.709	2.785	2.725	2.841	2.907	2.793	2.637	2.450	2.282	2.233