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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, 2016
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   24 25 25 25 26 26 26 26 26 26 26
Closed Higher   14 16 16 18 13 11 11 12 14 9 6
Exceeded High   13 13 16 14 9 5 10 9 12 3 4
Scenario Percentage   93% 81% 100% 78% 69% 45% 91% 75% 86% 33% 67%
Avg Max Increase   11.35% 12.90% 12.29% 12.02% 8.13% 18.62% 18.19% 17.08% 15.33% 29.44% 45.95%
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% -2.14% -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 3 14 9 11 7 8 4 1
2015 Contract Condition   Yes Yes   Yes       Yes     Yes
Action   Yes No   No       No     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   24 25 25 25 26 26 26 26 26 26 26
Closed Lower   9 9 9 7 13 15 15 14 12 17 20
Penetrated Low   9 5 9 6 11 13 13 12 11 15 17
Scenario Percentage   100% 56% 100% 86% 85% 87% 87% 86% 92% 88% 85%
Avg Max Decline   6.60% 9.81% 7.01% 9.46% 10.09% 10.67% 11.45% 12.98% 14.87% 19.23% 13.71%
Max Decline   18.30% 13.87% 20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 32.37% 24.65%
Avg Days To Max Decline   13 20 21 21 21 23 17 16 21 16 17
Avg Max Increase   -3.62% -1.75% -4.20% -3.39% -4.97% -3.08% -3.95% -2.71% -7.09% -6.30% -5.26%
Max Increase   -9.98% -3.06% -11.41% -7.95% -13.60% -8.21% -9.78% -12.23% -25.00% -24.83% -25.37%
Avg Days to Max Increase   8 13 16 12 10 17 7 9 18 9 4
2015 Contract Condition       Yes   Yes Yes Yes   Yes Yes  
Action       Yes   Yes Yes No   Yes Yes  
High 4.519 4.732 5.091 4.890 5.052 5.014 5.027 4.611 4.320 4.306 4.305 4.689
Low 4.197 4.190 4.662 4.567 4.552 4.500 4.512 3.950 4.013 3.990 3.707 4.044
Close/Last 4.398 4.699 4.791 4.679 5.022 4.666 4.587 4.075 4.266 4.252 3.959 4.088

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