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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Natural Gas(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   22 23 23 23 24 24 24 24 24 24 24
Closed Higher   13 15 16 16 13 10 11 11 14 9 5
Exceeded High   12 13 16 13 9 5 10 9 12 3 4
Scenario Percentage   92% 87% 100% 81% 69% 50% 91% 82% 86% 33% 80%
Avg Max Increase   11.60% 12.90% 12.29% 12.36% 8.13% 18.62% 18.19% 17.08% 15.33% 29.44% 45.38%
Max Increase   25.04% 31.64% 47.87% 40.48% 14.74% 48.16% 64.91% 28.43% 50.25% 70.50% 84.34%
Avg Days To Max Increase   22 18 17 15 17 18 22 14 18 17 22
Avg Max Decline   -2.32% -2.05% -2.59% -2.25% -2.91% -3.04% -4.41% -2.32% -4.91% -3.37% -3.14%
Max Decline   -4.28% -6.85% -6.57% -9.29% -6.74% -5.99% -13.28% -6.31% -15.91% -6.78% -11.07%
Avg Days to Max Decline   9 7 9 4 14 9 11 7 8 4 1
2013 Contract Condition     Yes   Yes   Yes Yes   Yes Yes  
Action     No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   22 23 23 23 24 24 24 24 24 24 24
Closed Lower   8 8 7 7 11 14 13 13 10 15 19
Penetrated Low   8 4 7 6 9 12 12 11 9 13 15
Scenario Percentage   100% 50% 100% 86% 82% 86% 92% 85% 90% 87% 79%
Avg Max Decline   6.92% 10.46% 7.80% 9.46% 10.42% 10.41% 11.53% 12.17% 14.18% 17.45% 12.46%
Max Decline   18.30% 13.87% 20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 26.88% 19.97%
Avg Days To Max Decline   11 21 22 21 23 23 16 15 20 14 13
Avg Max Increase   -2.83% -1.44% -4.03% -3.39% -4.95% -3.30% -3.91% -2.70% -8.19% -4.06% -4.20%
Max Increase   -8.42% -3.06% -11.41% -7.95% -13.60% -8.21% -9.78% -12.23% -25.00% -11.72% -14.45%
Avg Days to Max Increase   6 11 15 12 10 18 7 8 21 5 3
2013 Contract Condition   Yes   Yes   Yes     Yes     Yes
Action   Yes   Yes   Yes     No     Yes
High 4.468 3.971 3.799 3.546 3.432 3.620 3.605 3.750 3.706 3.777 4.088 4.060
Low 3.858 3.320 3.395 3.267 3.062 3.229 3.114 3.400 3.200 3.200 3.753 3.546
Close/Last 3.883 3.504 3.545 3.331 3.337 3.305 3.499 3.690 3.357 3.767 3.820 3.561

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