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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, 2016
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   23 25 25 25 25 25 25 25 25 25 25
Closed Higher   15 14 11 12 12 14 8 6 9 11 14
Exceeded High   12 10 7 10 9 11 4 5 8 10 10
Scenario Percentage   80% 71% 64% 83% 75% 79% 50% 83% 89% 91% 71%
Avg Max Increase   9.89% 6.43% 9.41% 11.56% 9.43% 8.19% 13.16% 26.97% 27.55% 22.49% 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   14 17 16 20 16 17 17 23 21 15 18
Avg Max Decline   -2.50% -1.72% -1.77% -3.39% -2.62% -4.43% -3.16% -2.18% -3.34% -3.65% -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   5 10 10 13 6 15 6 3 8 5 4
2015 Contract Condition   Yes       Yes           Yes
Action   Yes       No           Not Yet
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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   23 25 25 25 25 25 25 25 25 25 25
Closed Lower   7 11 14 13 13 11 17 19 16 14 11
Penetrated Low   3 6 10 9 11 10 14 16 14 12 9
Scenario Percentage   43% 55% 71% 69% 85% 91% 82% 84% 88% 86% 82%
Avg Max Decline   3.50% 8.91% 8.91% 10.01% 9.18% 9.87% 13.31% 16.75% 15.76% 12.03% 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 24 21 15 14 24 19 17 16 17 16
Avg Max Increase   -2.09% -5.30% -3.48% -2.13% -1.93% -5.10% -1.98% -3.68% -4.08% -7.46% -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 12 14 2 7 11 3 6 5 7 3
2015 Contract Condition     Yes Yes Yes   Yes Yes Yes Yes Yes  
Action     Yes Yes No   Yes Yes Yes Yes Yes  
High 4.158 4.276 4.274 4.279 4.085 3.944 3.910 3.901 3.895 3.666 3.194 3.045
Low 4.013 3.993 3.997 4.034 3.683 3.715 3.720 3.479 3.632 2.878 2.640 2.589
Close/Last 4.046 4.239 4.116 4.071 3.758 3.895 3.873 3.668 3.654 2.881 2.687 2.734

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