MRCI's ScenarioSM Study

ScenarioSM Study for January Natural Gas(NYM) as of Dec 30, 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		25	26	26	26	27	27	27	27	27	27	27
Closed Higher		14	16	17	19	13	12	11	12	14	9	7
Exceeded High		13	13	17	15	9	6	10	9	12	3	5
Scenario Percentage		93%	81%	100%	79%	69%	50%	91%	75%	86%	33%	71%
Avg Max Increase		11.35%	12.90%	12.23%	11.89%	8.13%	15.76%	18.19%	17.08%	15.33%	29.44%	40.59%
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	16	17	15	22	14	18	17	23
Avg Max Decline		-2.20%	-2.05%	-2.51%	-2.55%	-2.91%	-2.68%	-4.41%	-2.32%	-4.91%	-3.37%	-3.17%
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	8	4	14	7	11	7	8	4	5
2016 Contract Condition					Yes		Yes
Action					Yes		No

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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		25	26	26	26	27	27	27	27	27	27	27
Closed Lower		10	10	9	7	14	15	16	15	13	18	20
Penetrated Low		10	5	9	6	11	13	14	13	12	16	17
Scenario Percentage		100%	50%	100%	86%	79%	87%	88%	87%	92%	89%	85%
Avg Max Decline		7.19%	9.81%	7.01%	9.46%	10.09%	10.67%	11.24%	12.46%	15.03%	18.95%	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		14	20	21	21	21	23	17	17	20	16	17
Avg Max Increase		-3.26%	-1.75%	-4.20%	-3.39%	-4.97%	-3.08%	-3.68%	-3.31%	-7.54%	-5.90%	-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	12	18	8	4
2016 Contract Condition		Yes	Yes	Yes		Yes		Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	Yes		Yes		Yes	Yes	Yes	Yes	Yes
High	4.109	3.640	3.615	3.373	3.249	3.483	3.383	3.343	3.293	3.103	2.918	2.600
Low	3.528	3.254	3.212	3.155	3.039	3.106	3.060	3.131	2.981	2.821	2.357	2.175
Close/Last	3.531	3.287	3.276	3.188	3.236	3.118	3.241	3.152	3.016	2.831	2.490	2.235