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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April Natural Gas(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 23 23 23 23 23 23 23 23 23 23
Closed Higher   13 14 11 12 10 14 8 5 8 10 12
Exceeded High   10 10 7 10 8 11 4 4 7 9 10
Scenario Percentage   77% 71% 64% 83% 80% 79% 50% 80% 88% 90% 83%
Avg Max Increase   11.64% 6.43% 9.41% 11.56% 10.06% 8.19% 13.16% 29.33% 27.65% 23.11% 15.82%
Max Increase   40.87% 14.45% 30.16% 44.89% 22.81% 17.16% 32.21% 36.90% 91.38% 61.63% 51.04%
Avg Days To Max Increase   13 17 16 20 16 17 17 22 21 14 18
Avg Max Decline   -1.94% -1.72% -1.77% -3.39% -2.44% -4.43% -3.16% -2.39% -2.96% -3.88% -3.47%
Max Decline   -7.88% -4.92% -3.92% -11.95% -6.23% -13.58% -5.63% -5.51% -10.03% -9.15% -10.23%
Avg Days to Max Decline   3 10 10 13 4 15 6 3 8 4 4
2013 Contract Condition       Yes Yes   Yes Yes       Yes
Action       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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   21 23 23 23 23 23 23 23 23 23 23
Closed Lower   7 9 12 11 13 9 15 18 15 13 11
Penetrated Low   3 4 8 8 11 8 12 15 13 11 9
Scenario Percentage   43% 44% 67% 73% 85% 89% 80% 83% 87% 85% 82%
Avg Max Decline   3.50% 8.59% 8.96% 10.38% 9.18% 10.08% 13.34% 16.02% 16.19% 12.79% 9.43%
Max Decline   5.13% 14.17% 14.58% 19.01% 23.69% 19.10% 24.24% 32.58% 36.48% 31.64% 19.74%
Avg Days To Max Decline   19 21 22 16 14 26 20 16 17 18 16
Avg Max Increase   -2.09% -6.69% -3.68% -2.36% -1.93% -5.48% -1.83% -3.91% -3.56% -7.83% -3.54%
Max Increase   -5.58% -12.86% -13.78% -5.75% -7.55% -21.08% -6.65% -11.97% -23.19% -15.47% -12.03%
Avg Days to Max Increase   8 13 15 2 7 12 3 6 5 8 3
2013 Contract Condition   Yes Yes     Yes     Yes Yes Yes  
Action   No Yes     No     Yes Yes Not Yet  
High 3.489 3.402 3.578 3.543 3.690 3.658 3.737 3.984 3.997 3.747 3.670 3.554
Low 3.239 3.032 3.222 3.110 3.375 3.205 3.224 3.700 3.551 3.360 3.150 3.191
Close/Last 3.311 3.303 3.294 3.449 3.640 3.357 3.730 3.771 3.570 3.403 3.392 3.486

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