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