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