MRCI's ScenarioSM Study

ScenarioSM Study for September Natural Gas(NYM) as of Dec 27, 2023
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		33	33	33	33	33	33	33	33	34	34	34
Closed Higher		16	13	10	13	16	18	21	22	15	14	13
Exceeded High		12	10	7	11	15	15	21	21	11	10	12
Scenario Percentage		75%	77%	70%	85%	94%	83%	100%	95%	73%	71%	92%
Avg Max Increase		6.45%	6.84%	10.29%	12.98%	14.90%	16.14%	17.03%	15.37%	17.38%	14.62%	16.49%
Max Increase		14.51%	15.76%	25.70%	40.58%	29.66%	48.89%	63.48%	46.20%	38.74%	44.05%	44.41%
Avg Days To Max Increase		17	13	20	18	23	17	17	15	20	16	16
Avg Max Decline		-3.81%	-2.78%	-2.05%	-1.38%	-3.35%	-2.52%	-3.67%	-4.84%	-4.32%	-6.68%	-4.69%
Max Decline		-12.68%	-9.97%	-5.31%	-5.36%	-15.19%	-6.78%	-7.94%	-12.27%	-11.97%	-18.51%	-11.41%
Avg Days to Max Decline		11	5	14	7	11	8	10	10	9	11	5
2023 Contract Condition				Yes							Yes
Action				No							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		33	33	33	33	33	33	33	33	34	34	34
Closed Lower		17	20	23	20	15	15	12	11	19	20	21
Penetrated Low		13	16	20	16	12	10	11	9	17	17	16
Scenario Percentage		76%	80%	87%	80%	80%	67%	92%	82%	89%	85%	76%
Avg Max Decline		8.44%	11.92%	11.87%	10.77%	13.30%	10.90%	10.22%	15.68%	15.24%	14.25%	11.93%
Max Decline		17.97%	22.07%	29.50%	34.67%	25.24%	24.82%	25.63%	35.19%	27.88%	32.40%	26.31%
Avg Days To Max Decline		20	18	14	16	22	16	20	19	21	16	17
Avg Max Increase		-4.02%	-2.38%	-1.89%	-2.13%	-4.85%	-5.15%	-4.21%	-4.53%	-5.72%	-4.59%	-5.54%
Max Increase		-10.43%	-11.42%	-6.49%	-10.41%	-10.77%	-23.15%	-11.31%	-10.27%	-14.77%	-13.49%	-16.17%
Avg Days to Max Increase		14	8	7	5	12	9	11	11	12	16	4
2023 Contract Condition		Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action		Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes		Yes
High	5.903	5.925	5.193	5.396	5.396	4.061	3.342	3.494	2.773	2.864	2.911	2.780
Low	4.692	4.790	4.517	4.612	4.058	3.114	2.685	2.620	2.429	2.309	2.249	2.477
Close/Last	5.842	4.894	4.843	5.288	4.110	3.251	3.231	2.750	2.626	2.358	2.774	2.634