MRCI's ScenarioSM Study

ScenarioSM Study for January Natural Gas(NYM) as of Jan 01, 2015
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		23	24	24	24	25	25	25	25	25	25	25
Closed Higher		14	16	16	17	13	10	11	12	14	9	6
Exceeded High		13	13	16	13	9	5	10	9	12	3	4
Scenario Percentage		93%	81%	100%	76%	69%	50%	91%	75%	86%	33%	67%
Avg Max Increase		11.35%	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		-2.20%	-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		8	7	9	4	14	9	11	7	8	4	1
2014 Contract Condition		Yes	Yes	Yes	Yes				Yes			Yes
Action		Yes	Yes	Yes	Yes				Yes			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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years		23	24	24	24	25	25	25	25	25	25	25
Closed Lower		8	8	8	7	12	15	14	13	11	16	19
Penetrated Low		8	4	8	6	10	13	12	11	10	14	15
Scenario Percentage		100%	50%	100%	86%	83%	87%	86%	85%	91%	88%	79%
Avg Max Decline		6.92%	10.46%	7.30%	9.46%	10.91%	10.67%	11.53%	12.17%	14.04%	17.98%	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	21	21	23	23	16	15	21	15	13
Avg Max Increase		-2.83%	-1.44%	-4.52%	-3.39%	-5.23%	-3.08%	-3.91%	-2.70%	-7.49%	-5.08%	-4.20%
Max Increase		-8.42%	-3.06%	-11.41%	-7.95%	-13.60%	-8.21%	-9.78%	-12.23%	-25.00%	-18.44%	-14.45%
Avg Days to Max Increase		6	11	17	12	11	17	7	8	19	7	3
2014 Contract Condition						Yes	Yes	Yes		Yes	Yes
Action						Yes	Yes	Yes		Yes	Yes
High	4.283	4.255	4.144	4.480	4.778	4.825	4.360	4.137	3.990	4.125	4.092	3.962
Low	3.964	3.870	3.890	4.028	4.310	4.306	3.878	3.792	3.565	3.731	3.648	3.465
Close/Last	4.050	4.064	4.085	4.421	4.730	4.318	3.899	3.839	3.926	3.831	3.663	3.954