MRCI's ScenarioSM Study

ScenarioSM Study for December Natural Gas(NYM) as of Sep 29, 2023
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		31	32	32	32	32	33	33	33	33	33	33
Closed Higher		14	17	19	21	23	15	12	16	18	16	11
Exceeded High		10	15	14	21	20	10	7	13	14	14	4
Scenario Percentage		71%	88%	74%	100%	87%	67%	58%	81%	78%	88%	36%
Avg Max Increase		11.72%	12.28%	12.66%	14.26%	12.08%	12.35%	15.33%	22.81%	16.66%	19.90%	28.63%
Max Increase		32.50%	25.43%	34.97%	58.71%	40.77%	34.62%	52.45%	67.45%	46.02%	69.88%	51.15%
Avg Days To Max Increase		19	24	18	17	15	17	14	21	14	15	10
Avg Max Decline		-1.55%	-2.82%	-1.99%	-2.56%	-3.04%	-1.89%	-2.32%	-4.22%	-3.15%	-5.00%	-3.39%
Max Decline		-4.82%	-13.47%	-6.82%	-6.82%	-10.36%	-5.95%	-7.11%	-13.32%	-10.20%	-17.06%	-7.26%
Avg Days to Max Decline		6	8	4	10	7	8	6	8	9	7	2
2023 Contract Condition								Yes		Yes
Action								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		31	32	32	32	32	33	33	33	33	33	33
Closed Lower		17	15	13	11	9	18	21	17	15	17	22
Penetrated Low		12	12	5	10	8	15	18	15	13	16	16
Scenario Percentage		71%	80%	38%	91%	89%	83%	86%	88%	87%	94%	73%
Avg Max Decline		7.32%	9.02%	9.20%	7.30%	10.15%	10.31%	9.97%	10.39%	14.33%	16.04%	10.60%
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	19	14	17	19	17
Avg Max Increase		-2.05%	-3.68%	-2.64%	-4.15%	-3.40%	-4.74%	-3.08%	-4.22%	-2.90%	-7.62%	-4.63%
Max Increase		-7.66%	-8.82%	-6.94%	-11.38%	-8.62%	-14.34%	-8.47%	-10.56%	-11.02%	-31.20%	-16.04%
Avg Days to Max Increase		8	11	6	15	15	11	13	7	10	17	5
2023 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes		Yes		Yes
Action		Yes	Yes	Yes	Yes	Yes	Yes		Yes		Not Yet
High	6.088	6.050	4.818	4.203	4.267	3.719	3.768	3.669	3.695	3.902	3.656
Low	5.336	4.805	4.013	3.603	3.580	3.367	3.377	3.306	3.438	3.428	3.240
Close/Last	5.976	4.877	4.145	4.057	3.720	3.647	3.404	3.622	3.563	3.611	3.312