MRCI's ScenarioSM Study

ScenarioSM Study for February 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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		24	24	24	25	25	25	25	25	25	25	25
Closed Higher		16	16	16	12	9	11	10	13	10	7	9
Exceeded High		13	16	14	9	4	10	8	11	3	5	7
Scenario Percentage		81%	100%	88%	75%	44%	91%	80%	85%	30%	71%	78%
Avg Max Increase		13.09%	12.36%	10.23%	7.80%	17.67%	16.89%	17.86%	14.19%	26.82%	41.93%	17.59%
Max Increase		31.04%	47.84%	40.31%	14.47%	46.67%	62.28%	27.84%	34.35%	63.61%	61.54%	28.65%
Avg Days To Max Increase		17	17	14	19	16	21	16	19	16	17	15
Avg Max Decline		-1.79%	-2.42%	-2.51%	-2.21%	-2.16%	-4.46%	-2.07%	-4.90%	-3.48%	-2.24%	0.60%
Max Decline		-6.55%	-6.55%	-8.99%	-5.23%	-5.63%	-12.97%	-5.91%	-14.84%	-7.41%	-9.36%	-6.55%
Avg Days to Max Decline		9	8	7	12	8	11	6	12	4	1	6
2015 Contract Condition		Yes		Yes				Yes			Yes
Action		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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		24	24	24	25	25	25	25	25	25	25	25
Closed Lower		8	8	8	12	15	14	15	12	15	18	16
Penetrated Low		4	8	6	10	12	12	12	11	12	15	13
Scenario Percentage		50%	100%	75%	83%	80%	86%	80%	92%	80%	83%	81%
Avg Max Decline		10.13%	6.95%	10.24%	10.65%	10.62%	10.88%	11.37%	11.71%	18.09%	22.30%	17.79%
Max Decline		13.86%	20.31%	26.74%	17.21%	19.37%	23.49%	29.36%	21.56%	27.37%	41.55%	30.96%
Avg Days To Max Decline		21	21	20	23	21	16	15	21	21	16	18
Avg Max Increase		-1.23%	-4.40%	-3.09%	-5.00%	-2.81%	-3.32%	-2.27%	-7.18%	-5.93%	-5.01%	-2.73%
Max Increase		-2.89%	-11.49%	-7.98%	-13.78%	-8.56%	-8.87%	-10.37%	-27.12%	-25.13%	-16.00%	-16.03%
Avg Days to Max Increase		11	17	8	11	16	7	6	11	7	8	6
2015 Contract Condition			Yes		Yes	Yes	Yes		Yes	Yes		Yes
Action			Yes		Yes	Yes	No		Yes	Yes		Yes
High	4.675	5.027	4.810	4.992	4.969	4.895	4.575	4.300	4.280	4.285	4.639	4.040
Low	4.183	4.636	4.531	4.522	4.486	4.486	3.945	4.000	3.987	3.703	4.020	2.882
Close/Last	4.640	4.734	4.637	4.976	4.640	4.558	4.064	4.248	4.236	3.950	4.085	2.889