MRCI's ScenarioSM Study

ScenarioSM Study for May Natural Gas(NYM) as of Jan 01, 2015
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		22	24	24	24	24	24	24	24	24	24	24
Closed Higher		13	11	13	11	13	8	7	9	11	14	17
Exceeded High		10	7	12	8	10	4	6	9	10	11	15
Scenario Percentage		77%	64%	92%	73%	77%	50%	86%	100%	91%	79%	88%
Avg Max Increase		7.43%	9.35%	11.86%	9.54%	7.44%	10.46%	18.70%	20.49%	18.95%	22.07%	10.75%
Max Increase		16.77%	27.44%	41.31%	23.54%	14.89%	22.06%	31.67%	62.43%	43.11%	54.87%	35.33%
Avg Days To Max Increase		19	17	20	18	18	17	19	18	21	13	15
Avg Max Decline		-1.51%	-2.28%	-2.80%	-2.07%	-4.30%	-2.34%	-1.91%	-1.94%	-3.76%	-3.80%	-4.18%
Max Decline		-4.89%	-7.32%	-11.20%	-5.03%	-13.36%	-4.50%	-4.42%	-6.21%	-7.50%	-8.72%	-8.03%
Avg Days to Max Decline		9	12	12	7	15	4	10	6	9	8	4
2014 Contract Condition					Yes			Yes	Yes	Yes	Yes
Action					Yes			Yes	Yes	Yes	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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		22	24	24	24	24	24	24	24	24	24	24
Closed Lower		9	13	11	13	10	16	17	15	13	10	7
Penetrated Low		6	10	9	11	9	12	14	13	9	8	6
Scenario Percentage		67%	77%	82%	85%	90%	75%	82%	87%	69%	80%	86%
Avg Max Decline		6.73%	8.20%	9.49%	8.74%	8.69%	12.84%	14.52%	14.41%	14.89%	12.77%	6.61%
Max Decline		12.45%	14.66%	17.78%	22.61%	19.01%	23.62%	31.56%	34.01%	29.94%	27.60%	16.45%
Avg Days To Max Decline		23	19	18	17	24	19	16	16	20	14	13
Avg Max Increase		-5.00%	-2.96%	-1.91%	-1.91%	-5.26%	-1.42%	-2.83%	-2.90%	-6.93%	-5.26%	-4.81%
Max Increase		-13.25%	-12.65%	-5.64%	-6.61%	-20.13%	-6.09%	-9.12%	-16.97%	-13.73%	-11.73%	-11.84%
Avg Days to Max Increase		12	16	3	8	14	5	7	6	6	9	3
2014 Contract Condition		Yes	Yes	Yes		Yes	Yes					Yes
Action		Yes	Yes	Yes		Yes	Yes					Yes
High	4.233	4.253	4.102	3.991	3.891	3.993	4.012	3.917	4.229	4.488	4.893	4.669
Low	4.011	4.032	3.797	3.747	3.523	3.718	3.646	3.495	3.860	3.850	4.333	4.256
Close/Last	4.224	4.070	3.810	3.775	3.853	3.782	3.661	3.915	4.095	4.379	4.550	4.371