MRCI's ScenarioSM Study

ScenarioSM Study for April 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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		24	26	26	26	26	26	26	26	26	26	26
Closed Higher		16	14	12	12	12	14	8	6	10	11	14
Exceeded High		13	10	7	10	9	11	4	5	9	10	10
Scenario Percentage		81%	71%	58%	83%	75%	79%	50%	83%	90%	91%	71%
Avg Max Increase		9.58%	6.43%	9.41%	11.56%	9.43%	8.19%	13.16%	26.97%	25.07%	22.80%	16.12%
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		15	17	16	20	16	17	17	23	20	16	19
Avg Max Decline		-2.36%	-1.72%	-1.77%	-3.39%	-2.62%	-4.43%	-3.16%	-2.18%	-3.33%	-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
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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		24	26	26	26	26	26	26	26	26	26	26
Closed Lower		7	12	14	14	14	12	18	20	16	15	12
Penetrated Low		3	7	10	10	12	11	15	17	14	13	10
Scenario Percentage		43%	58%	71%	71%	86%	92%	83%	85%	88%	87%	83%
Avg Max Decline		3.50%	7.84%	8.91%	9.97%	9.89%	10.33%	13.60%	16.59%	15.76%	13.76%	9.83%
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	21	17	15	24	19	17	16	20	17
Avg Max Increase		-2.09%	-4.84%	-3.48%	-2.22%	-1.99%	-4.83%	-2.21%	-3.51%	-4.08%	-7.47%	-3.20%
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	10	14	3	8	11	4	5	5	8	4
2016 Contract Condition			Yes		Yes	Yes	Yes	Yes	Yes		Yes	Yes
Action			Yes		Yes	Yes	Yes	Yes	Yes		Yes	Yes
High	3.147	3.029	3.190	3.141	3.110	3.056	2.912	2.746	2.581	2.426	2.512	2.279
Low	2.978	2.879	2.936	2.903	2.955	2.801	2.680	2.337	2.289	2.017	2.144	1.690
Close/Last	2.995	3.011	2.945	3.049	2.966	2.838	2.688	2.451	2.346	2.387	2.332	1.711