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