MRCI's ScenarioSM Study

ScenarioSM Study for November 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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		28	28	28	28	28	28	29	29	29	29	29
Closed Higher		9	13	13	17	19	19	14	12	11	14	15
Exceeded High		6	9	12	13	19	16	9	6	9	12	14
Scenario Percentage		67%	69%	92%	76%	100%	84%	64%	50%	82%	86%	93%
Avg Max Increase		11.08%	13.62%	13.08%	15.22%	12.60%	12.25%	8.88%	18.50%	23.70%	15.04%	10.92%
Max Increase		25.82%	36.54%	27.29%	40.36%	49.68%	42.55%	17.99%	61.21%	71.77%	36.43%	25.39%
Avg Days To Max Increase		14	20	25	19	17	15	19	20	19	13	17
Avg Max Decline		-1.10%	-1.40%	-2.60%	-1.97%	-2.82%	-3.97%	-5.43%	-5.21%	-6.20%	-3.68%	-4.80%
Max Decline		-2.54%	-5.09%	-5.09%	-7.06%	-7.12%	-11.02%	-16.13%	-16.70%	-20.10%	-7.84%	-14.71%
Avg Days to Max Decline		9	6	13	6	10	8	12	9	10	8	5
2018 Contract Condition		Yes		Yes		Yes		Yes			Yes	Yes
Action		No		No		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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		28	28	28	28	28	28	29	29	29	29	29
Closed Lower		19	15	15	11	9	9	15	17	18	15	14
Penetrated Low		16	12	12	5	8	7	12	15	14	14	12
Scenario Percentage		84%	80%	80%	45%	89%	78%	80%	88%	78%	93%	86%
Avg Max Decline		11.10%	8.63%	9.72%	11.51%	8.47%	10.20%	12.17%	12.14%	13.23%	16.35%	10.25%
Max Decline		27.32%	24.57%	20.93%	16.57%	23.43%	30.43%	22.33%	26.51%	25.58%	35.90%	22.82%
Avg Days To Max Decline		14	16	20	21	20	20	21	21	14	16	19
Avg Max Increase		-1.79%	-2.36%	-4.27%	-1.75%	-4.11%	-3.61%	-6.37%	-3.26%	-4.73%	-5.35%	-5.25%
Max Increase		-5.70%	-8.20%	-10.46%	-3.88%	-11.43%	-9.07%	-14.01%	-9.10%	-11.98%	-16.44%	-20.08%
Avg Days to Max Increase		6	9	7	6	11	9	11	16	7	13	6
2018 Contract Condition			Yes		Yes		Yes		Yes	Yes
Action			No		No		Yes		Yes	No
High	3.085	3.085	3.030	3.039	2.957	2.965	2.921	3.036	3.064	2.946	3.013	3.111
Low	2.966	2.942	2.673	2.756	2.751	2.805	2.798	2.768	2.919	2.737	2.793	2.747
Close/Last	2.988	2.993	2.867	2.968	2.838	2.889	2.843	2.986	2.949	2.843	2.939	3.008