MRCI's ScenarioSM Study

ScenarioSM Study for October Natural Gas(NYM) as of Jun 08, 2020
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		29	29	29	29	29	29	29	30	30	30	30
Closed Higher		10	9	14	13	18	19	18	15	12	10	14
Exceeded High		7	7	10	12	14	19	17	10	8	9	11
Scenario Percentage		70%	78%	71%	92%	78%	100%	94%	67%	67%	90%	79%
Avg Max Increase		8.03%	10.58%	14.16%	14.00%	16.14%	13.42%	12.66%	13.68%	17.28%	26.84%	14.69%
Max Increase		15.70%	26.17%	40.28%	29.61%	45.23%	50.99%	44.79%	25.61%	73.17%	68.95%	32.10%
Avg Days To Max Increase		14	16	20	23	17	17	15	18	17	15	20
Avg Max Decline		-2.76%	-2.05%	-2.26%	-3.12%	-2.10%	-3.48%	-4.70%	-4.68%	-5.99%	-5.58%	-3.62%
Max Decline		-9.46%	-5.13%	-5.67%	-5.39%	-6.85%	-7.82%	-11.85%	-12.50%	-17.71%	-12.12%	-7.53%
Avg Days to Max Decline		7	13	10	9	7	11	10	9	9	5	6
2019 Contract Condition		Yes	Yes		Yes	Yes						Yes
Action		Yes	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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		29	29	29	29	29	29	29	30	30	30	30
Closed Lower		17	18	15	16	11	10	11	15	18	20	16
Penetrated Low		13	15	13	12	6	10	9	14	16	17	12
Scenario Percentage		76%	83%	87%	75%	55%	100%	82%	93%	89%	85%	75%
Avg Max Decline		11.75%	11.85%	9.41%	12.08%	12.28%	9.36%	13.82%	14.99%	15.24%	15.00%	11.86%
Max Decline		21.74%	28.99%	28.37%	24.63%	21.22%	25.09%	34.29%	26.66%	30.69%	38.37%	27.25%
Avg Days To Max Decline		18	12	15	19	18	22	21	22	22	12	15
Avg Max Increase		-1.93%	-1.97%	-2.51%	-4.40%	-2.13%	-4.60%	-4.63%	-6.07%	-6.19%	-6.16%	-4.87%
Max Increase		-6.07%	-6.24%	-9.20%	-10.64%	-4.47%	-11.44%	-10.74%	-14.11%	-31.42%	-14.39%	-14.29%
Avg Days to Max Increase		7	6	6	9	5	11	10	11	19	6	6
2019 Contract Condition				Yes			Yes	Yes	Yes	Yes	Yes
Action				Yes			Yes	Yes	Yes	Yes	Yes
High	2.689	2.779	2.848	2.945	2.951	2.927	3.000	2.861	2.770	2.515	2.510	2.338
Low	2.612	2.674	2.655	2.744	2.663	2.721	2.809	2.594	2.497	2.156	2.128	2.045
Close/Last	2.680	2.728	2.807	2.752	2.866	2.923	2.813	2.668	2.499	2.311	2.250	2.285