MRCI's ScenarioSM Study

ScenarioSM Study for February 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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		25	25	25	26	26	26	26	26	26	26	26
Closed Higher		16	16	17	12	10	11	10	13	10	7	10
Exceeded High		13	16	15	9	4	10	8	11	3	5	8
Scenario Percentage		81%	100%	88%	75%	40%	91%	80%	85%	30%	71%	80%
Avg Max Increase		13.09%	12.36%	10.05%	7.80%	17.67%	16.89%	17.86%	14.19%	26.82%	40.94%	15.65%
Max Increase		31.04%	47.84%	40.31%	14.47%	46.67%	62.28%	27.84%	34.35%	63.61%	61.54%	24.02%
Avg Days To Max Increase		17	17	14	19	16	21	16	19	16	17	14
Avg Max Decline		-1.79%	-2.42%	-2.39%	-2.21%	-2.16%	-4.46%	-2.07%	-4.90%	-3.48%	-2.24%	-0.00%
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	6	12	8	11	6	12	4	1	5
2016 Contract Condition				Yes		Yes						Yes
Action				Yes		No						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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		25	25	25	26	26	26	26	26	26	26	26
Closed Lower		9	9	8	13	15	15	16	13	16	19	16
Penetrated Low		5	9	6	11	12	13	13	12	13	16	13
Scenario Percentage		56%	100%	75%	85%	80%	87%	81%	92%	81%	84%	81%
Avg Max Decline		9.65%	6.75%	10.24%	9.81%	10.62%	10.81%	12.11%	12.53%	18.88%	22.23%	17.79%
Max Decline		13.86%	20.31%	26.74%	17.21%	19.37%	23.49%	29.36%	21.60%	28.29%	41.55%	30.96%
Avg Days To Max Decline		20	20	20	21	21	17	16	22	21	16	18
Avg Max Increase		-1.50%	-4.10%	-3.09%	-4.71%	-2.81%	-3.39%	-2.31%	-6.81%	-5.85%	-4.75%	-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		10	15	8	10	16	7	7	11	8	7	6
2016 Contract Condition		Yes	Yes		Yes		Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes		Yes		Yes	Yes	Yes	Yes	Yes
High	3.621	3.432	3.349	3.235	3.467	3.370	3.333	3.282	3.097	2.920	2.637	2.386
Low	3.255	3.206	3.157	3.013	3.105	3.070	3.133	2.981	2.832	2.382	2.228	1.802
Close/Last	3.285	3.265	3.174	3.222	3.115	3.238	3.146	3.013	2.842	2.513	2.290	2.337