MRCI's ScenarioSM Study

ScenarioSM Study for December Natural Gas(NYM) as of May 10, 2021
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		29	30	30	30	30	31	31	31	31	31	31
Closed Higher		14	15	18	20	21	13	11	14	16	15	11
Exceeded High		10	13	14	20	18	8	6	11	13	13	4
Scenario Percentage		71%	87%	78%	100%	86%	62%	55%	79%	81%	87%	36%
Avg Max Increase		11.72%	11.59%	12.66%	12.03%	10.51%	8.83%	13.88%	19.85%	14.41%	20.66%	28.63%
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		19	24	18	17	15	18	11	20	15	16	10
Avg Max Decline		-1.55%	-2.36%	-1.99%	-2.58%	-2.74%	-2.46%	-2.29%	-3.97%	-3.41%	-4.99%	-3.39%
Max Decline		-4.82%	-4.63%	-6.82%	-6.82%	-9.58%	-5.95%	-7.11%	-13.32%	-10.20%	-17.06%	-7.26%
Avg Days to Max Decline		6	8	4	10	7	9	6	7	10	7	2
2020 Contract Condition		Yes			Yes	Yes			Yes	Yes		Yes
Action		Yes			Yes	Yes			Yes	Yes		Not Yet

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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		29	30	30	30	30	31	31	31	31	31	31
Closed Lower		15	15	12	10	9	18	20	17	15	16	20
Penetrated Low		12	12	5	10	8	15	17	15	13	15	15
Scenario Percentage		80%	80%	42%	100%	89%	83%	85%	88%	87%	94%	75%
Avg Max Decline		7.32%	9.02%	9.20%	7.30%	10.15%	10.31%	10.50%	10.39%	14.33%	15.48%	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		12	19	19	21	19	23	20	14	17	18	16
Avg Max Increase		-2.05%	-3.68%	-2.64%	-4.15%	-3.40%	-4.74%	-2.76%	-4.22%	-2.90%	-7.78%	-4.39%
Max Increase		-7.66%	-8.82%	-6.94%	-11.38%	-8.62%	-14.34%	-7.63%	-10.56%	-11.02%	-31.20%	-16.04%
Avg Days to Max Increase		8	11	6	15	15	11	14	7	10	18	5
2020 Contract Condition			Yes	Yes			Yes	Yes			Yes
Action			Yes	Yes			Yes	No			Yes
High	2.719	2.614	2.626	2.505	2.641	2.990	3.074	2.908	2.905	3.283	3.370	3.396
Low	2.561	2.533	2.423	2.317	2.305	2.592	2.765	2.637	2.657	2.811	3.023	2.922
Close/Last	2.562	2.603	2.442	2.348	2.615	2.975	2.811	2.747	2.793	3.254	3.117	3.354