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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Natural Gas(NYM) as of Jan 01, 2015
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   22 23 24 24 24 24 24 24 24 24 24
Closed Higher   16 16 13 10 11 11 14 10 6 9 10
Exceeded High   16 14 9 5 10 10 11 3 5 9 9
Scenario Percentage   100% 88% 69% 50% 91% 91% 79% 30% 83% 100% 90%
Avg Max Increase   12.32% 10.39% 7.62% 15.64% 15.04% 11.41% 11.23% 21.02% 39.00% 36.45% 23.67%
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   17 15 18 19 21 13 16 16 17 16 14
Avg Max Decline   -2.58% -2.28% -2.05% -2.25% -4.23% -2.29% -4.38% -3.34% -2.80% -4.26% -5.22%
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 7 9 8 10 8 11 4 7 6 3
2014 Contract Condition   Yes Yes       Yes     Yes Yes Yes
Action   Yes Yes       Yes     Yes Yes 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   22 23 24 24 24 24 24 24 24 24 24
Closed Lower   6 7 11 14 13 13 10 14 18 15 14
Penetrated Low   6 5 9 10 12 11 9 11 15 14 10
Scenario Percentage   100% 71% 82% 71% 92% 85% 90% 79% 83% 93% 71%
Avg Max Decline   6.40% 5.27% 8.32% 10.61% 10.44% 11.38% 10.93% 14.80% 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 20 21 16 15 23 17 18 17 21
Avg Max Increase   -4.81% -3.71% -5.02% -3.61% -3.17% -2.28% -7.22% -4.55% -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 11 17 8 8 11 6 7 4 4
2014 Contract Condition       Yes Yes Yes   Yes Yes      
Action       Yes Yes Yes   Yes Yes      
High 4.080 4.390 4.625 4.667 4.279 4.085 3.950 4.070 4.068 3.948 4.550 5.486
Low 3.863 4.013 4.240 4.232 3.852 3.767 3.540 3.720 3.643 3.469 3.889 3.936
Close/Last 4.034 4.335 4.594 4.237 3.873 3.813 3.895 3.810 3.658 3.944 4.193 4.943

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