Contact Direct Energy (DE) directly, not through the agent that booked the contract with you.
Prepare the details of the contract you signed with Direct Energy, and inform the company of "Buyer's Remorse," which refers to a change of mind. The current company's focus is to avoid bad publicity, so it is voiding contracts on a case-to-case basis.
Provide DE with a good number to contact you at. If it is unable to reach you easily, it may send your case to collections and not work with you. Agreement to lower the penalty fees is highly possible if the contract has not been in effect for over 18 months.
Answer the DE calls to you promptly because this is the only way DE can work out a resolution that may involve zero to minimal penalty fees. If you do not agree to its new terms, it will cancel the contract, if that is your ultimate goal.