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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, 2016
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   23 24 25 25 25 25 25 25 25 25 25
Closed Higher   16 17 13 10 11 12 14 10 7 9 10
Exceeded High   16 14 9 5 10 10 11 3 5 9 9
Scenario Percentage   100% 82% 69% 50% 91% 83% 79% 30% 71% 100% 90%
Avg Max Increase   12.32% 10.39% 7.62% 15.64% 15.04% 11.41% 11.23% 21.02% 39.00% 29.88% 18.15%
Max Increase   49.20% 41.19% 14.43% 45.89% 59.17% 24.29% 23.36% 46.56% 57.64% 96.08% 64.14%
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
2015 Contract Condition     Yes       Yes     Yes    
Action     No       No     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   23 24 25 25 25 25 25 25 25 25 25
Closed Lower   7 7 12 15 14 13 11 15 18 16 15
Penetrated Low   7 5 10 11 12 11 10 12 15 15 11
Scenario Percentage   100% 71% 83% 73% 86% 85% 91% 80% 83% 94% 73%
Avg Max Decline   5.91% 5.27% 8.93% 10.83% 10.44% 11.38% 11.06% 15.69% 18.90% 18.28% 12.10%
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 21 22 16 15 23 18 18 17 20
Avg Max Increase   -5.21% -3.71% -5.11% -3.33% -3.17% -2.28% -6.63% -5.56% -4.21% -4.71% -6.99%
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   16 9 11 16 8 8 10 7 7 5 4
2015 Contract Condition   Yes   Yes Yes Yes   Yes Yes   Yes Yes
Action   Yes   Yes Yes No   Yes Yes   Yes Yes
High 4.910 4.700 4.875 4.865 4.810 4.485 4.225 4.202 4.207 4.530 3.984 3.299
Low 4.528 4.434 4.420 4.395 4.400 3.885 3.930 3.924 3.648 3.930 2.891 2.637
Close/Last 4.610 4.530 4.856 4.540 4.464 3.995 4.170 4.155 3.881 4.028 2.896 2.691

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