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