MRCI's ScenarioSM Study

ScenarioSM Study for March Natural Gas(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		21	22	23	23	23	23	23	23	23	23	23
Closed Higher		15	15	13	10	11	10	14	10	5	8	9
Exceeded High		15	13	9	5	10	9	11	3	4	8	8
Scenario Percentage		100%	87%	69%	50%	91%	90%	79%	30%	80%	100%	89%
Avg Max Increase		12.63%	11.07%	7.62%	15.64%	15.04%	12.17%	11.23%	21.02%	38.98%	34.15%	22.71%
Max Increase		49.20%	41.19%	14.43%	45.89%	59.17%	24.29%	23.36%	46.56%	57.64%	153.60%	112.29%
Avg Days To Max Increase		18	16	18	19	21	12	16	16	14	15	13
Avg Max Decline		-2.60%	-2.43%	-2.05%	-2.25%	-4.23%	-2.31%	-4.38%	-3.34%	-3.15%	-4.03%	-4.92%
Max Decline		-6.69%	-8.60%	-6.33%	-5.69%	-12.61%	-5.93%	-14.19%	-6.98%	-13.09%	-15.72%	-18.55%
Avg Days to Max Decline		8	8	9	8	10	7	11	4	8	6	2
2013 Contract Condition			Yes		Yes	Yes		Yes	Yes
Action			Yes		Yes	Yes		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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		21	22	23	23	23	23	23	23	23	23	23
Closed Lower		6	7	10	13	12	13	9	13	18	15	14
Penetrated Low		6	5	8	9	11	11	8	10	15	14	10
Scenario Percentage		100%	71%	80%	69%	92%	85%	89%	77%	83%	93%	71%
Avg Max Decline		6.40%	5.27%	7.97%	10.84%	10.74%	11.38%	11.18%	15.76%	18.90%	18.78%	12.85%
Max Decline		17.90%	12.62%	17.21%	17.79%	23.20%	29.22%	20.59%	26.00%	36.08%	39.26%	29.56%
Avg Days To Max Decline		22	18	19	23	16	15	25	19	18	17	21
Avg Max Increase		-4.81%	-3.71%	-5.52%	-3.41%	-3.44%	-2.28%	-7.28%	-5.03%	-4.21%	-4.05%	-7.34%
Max Increase		-12.76%	-7.89%	-13.60%	-10.34%	-8.44%	-10.34%	-23.13%	-26.05%	-13.34%	-37.04%	-22.13%
Avg Days to Max Increase		14	9	12	17	9	8	11	6	7	4	4
2013 Contract Condition		Yes		Yes			Yes			Yes	Yes	Yes
Action		Yes		Yes			No			Yes	Yes	Not Yet
High	3.790	3.529	3.420	3.607	3.582	3.722	3.688	3.758	4.049	4.036	3.750	3.646
Low	3.370	3.263	3.052	3.231	3.122	3.400	3.210	3.224	3.729	3.555	3.337	3.100
Close/Last	3.539	3.325	3.326	3.306	3.484	3.673	3.364	3.752	3.794	3.573	3.365	3.339