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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Natural Gas(NYM) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   24 25 25 25 25 25 25 25 25 25 26
Closed Higher   12 12 12 7 6 10 13 15 16 16 12
Exceeded High   10 9 9 5 5 8 12 11 16 15 7
Scenario Percentage   83% 75% 75% 71% 83% 80% 92% 73% 100% 94% 58%
Avg Max Increase   12.91% 8.80% 7.54% 6.79% 12.61% 18.80% 16.19% 21.43% 16.03% 13.67% 9.54%
Max Increase   40.16% 22.45% 15.07% 13.68% 26.86% 45.30% 32.40% 51.42% 53.57% 45.35% 19.70%
Avg Days To Max Increase   21 18 18 15 17 21 24 18 16 12 13
Avg Max Decline   -3.16% -2.33% -4.15% -1.69% -3.69% -1.63% -3.30% -2.90% -4.83% -5.01% -3.10%
Max Decline   -10.94% -4.34% -12.87% -4.64% -11.21% -5.67% -6.30% -7.01% -8.65% -14.73% -12.76%
Avg Days to Max Decline   13 10 12 4 21 8 9 8 11 7 2
2015 Contract Condition     Yes           Yes   Yes  
Action     No           No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   24 25 25 25 25 25 25 25 25 25 26
Closed Lower   12 13 11 17 19 15 12 9 9 9 14
Penetrated Low   10 12 10 12 15 13 9 6 9 7 10
Scenario Percentage   83% 92% 91% 71% 79% 87% 75% 67% 100% 78% 71%
Avg Max Decline   8.35% 7.78% 8.19% 12.64% 13.69% 10.74% 12.69% 14.68% 10.85% 13.45% 9.37%
Max Decline   16.71% 21.80% 18.48% 22.56% 30.46% 28.87% 26.72% 25.30% 28.35% 28.02% 14.06%
Avg Days To Max Decline   20 15 24 19 15 17 24 22 18 16 17
Avg Max Increase   -1.76% -1.25% -4.60% -1.50% -2.31% -3.00% -6.93% -5.20% -4.45% -4.47% -4.21%
Max Increase   -5.10% -3.76% -19.21% -5.86% -7.26% -12.14% -11.88% -20.94% -11.42% -10.19% -13.44%
Avg Days to Max Increase   3 12 13 3 6 6 10 14 7 7 5
2015 Contract Condition   Yes   Yes Yes Yes Yes Yes   Yes   Yes
Action   No   Yes Yes Yes Yes Yes   Yes   Yes
High 4.295 4.111 3.940 3.926 3.916 3.900 3.680 3.264 3.134 3.031 2.822 3.150
Low 4.069 3.752 3.784 3.778 3.534 3.648 3.009 2.777 2.734 2.721 2.540 2.633
Close/Last 4.096 3.814 3.924 3.893 3.711 3.670 3.012 2.811 2.864 2.751 2.802 2.642

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