MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		27	28	28	28	28	29	29	29	29	29	29
Closed Higher		13	14	17	19	20	13	11	13	15	14	9
Exceeded High		9	12	13	19	17	8	6	10	12	12	3
Scenario Percentage		69%	86%	76%	100%	85%	62%	55%	77%	80%	86%	33%
Avg Max Increase		12.93%	12.29%	13.49%	11.74%	10.93%	8.83%	13.88%	19.77%	15.24%	21.04%	34.73%
Max Increase		32.50%	25.43%	34.97%	48.25%	40.77%	15.24%	52.45%	67.45%	32.88%	69.88%	51.15%
Avg Days To Max Increase		20	25	19	18	15	18	11	20	14	17	12
Avg Max Decline		-1.60%	-2.17%	-2.09%	-2.67%	-2.82%	-2.46%	-2.29%	-4.43%	-2.84%	-5.02%	-3.79%
Max Decline		-4.82%	-4.39%	-6.82%	-6.82%	-9.58%	-5.95%	-7.11%	-13.32%	-7.45%	-17.06%	-7.26%
Avg Days to Max Decline		6	9	5	11	7	9	6	8	8	7	2
2018 Contract Condition			Yes		Yes		Yes			Yes	Yes	Yes
Action			No		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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		27	28	28	28	28	29	29	29	29	29	29
Closed Lower		14	14	11	9	8	16	18	16	14	15	20
Penetrated Low		11	11	4	9	7	13	16	14	13	14	15
Scenario Percentage		79%	79%	36%	100%	88%	81%	89%	88%	93%	93%	75%
Avg Max Decline		7.73%	9.33%	11.04%	7.22%	9.32%	10.45%	10.54%	10.62%	14.33%	15.23%	10.35%
Max Decline		21.07%	18.72%	14.25%	21.83%	28.01%	19.21%	23.07%	24.65%	30.31%	29.25%	18.72%
Avg Days To Max Decline		13	20	22	20	19	23	21	15	17	18	16
Avg Max Increase		-2.15%	-3.76%	-1.56%	-4.36%	-3.36%	-5.16%	-2.52%	-4.31%	-2.90%	-7.70%	-4.39%
Max Increase		-7.66%	-8.82%	-3.52%	-11.38%	-8.62%	-14.34%	-7.63%	-10.56%	-11.02%	-31.20%	-16.04%
Avg Days to Max Increase		9	9	5	15	15	11	14	8	10	17	5
2018 Contract Condition		Yes		Yes		Yes		Yes	Yes
Action		No		No		Yes		Yes	Yes
High	3.212	3.160	3.159	3.088	3.078	3.040	3.132	3.165	3.050	3.101	3.186	3.409
Low	3.085	2.818	2.887	2.887	2.935	2.927	2.876	3.030	2.854	2.900	2.840	3.085
Close/Last	3.130	2.997	3.096	2.961	3.012	2.954	3.086	3.055	2.952	3.029	3.091	3.261