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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 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   24 25 26 26 26 26 26 26 26 26 26
Closed Higher   16 18 13 11 11 12 14 10 7 10 10
Exceeded High   16 15 9 5 10 10 11 3 5 10 9
Scenario Percentage   100% 83% 69% 45% 91% 83% 79% 30% 71% 100% 90%
Avg Max Increase   12.32% 10.21% 7.62% 15.64% 15.04% 11.41% 11.23% 21.02% 39.00% 27.44% 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 15 14
Avg Max Decline   -2.58% -2.18% -2.05% -2.25% -4.23% -2.29% -4.38% -3.34% -2.80% -4.22% -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
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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   24 25 26 26 26 26 26 26 26 26 26
Closed Lower   8 7 13 15 15 14 12 16 19 16 16
Penetrated Low   8 5 11 11 13 12 11 13 16 15 12
Scenario Percentage   100% 71% 85% 73% 87% 86% 92% 81% 84% 94% 75%
Avg Max Decline   5.71% 5.27% 8.23% 10.83% 10.40% 12.14% 11.84% 16.30% 18.82% 18.28% 13.04%
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   21 18 19 22 17 16 24 18 18 17 20
Avg Max Increase   -4.74% -3.71% -4.84% -3.33% -3.25% -2.33% -6.26% -5.53% -4.00% -4.71% -6.15%
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 10 16 9 8 11 8 6 5 3
2016 Contract Condition   Yes   Yes   Yes Yes Yes Yes Yes   Yes
Action   Yes   Yes   Yes Yes Yes Yes Yes   Yes
High 3.386 3.292 3.184 3.410 3.324 3.290 3.238 3.062 2.887 2.631 2.414 2.493
Low 3.178 3.111 2.994 3.067 3.038 3.098 2.944 2.803 2.368 2.260 1.910 2.080
Close/Last 3.214 3.129 3.170 3.077 3.197 3.108 2.978 2.814 2.502 2.319 2.363 2.298

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