MRCI's ScenarioSM Study

ScenarioSM Study for May 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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		24	26	26	26	26	26	26	26	26	26	26
Closed Higher		13	12	13	12	13	8	7	10	11	15	18
Exceeded High		10	7	12	8	10	4	6	10	10	11	16
Scenario Percentage		77%	58%	92%	67%	77%	50%	86%	100%	91%	73%	89%
Avg Max Increase		7.43%	9.35%	11.86%	9.54%	7.44%	10.46%	18.70%	18.96%	18.95%	22.07%	10.65%
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	16
Avg Max Decline		-1.51%	-2.28%	-2.80%	-2.07%	-4.30%	-2.34%	-1.91%	-2.07%	-3.76%	-3.80%	-4.19%
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	5	9	8	5
2016 Contract Condition			Yes						Yes			Yes
Action			No						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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		24	26	26	26	26	26	26	26	26	26	26
Closed Lower		11	14	13	14	12	18	19	16	15	11	8
Penetrated Low		8	11	10	12	11	14	16	14	11	9	7
Scenario Percentage		73%	79%	77%	86%	92%	78%	84%	88%	73%	82%	88%
Avg Max Decline		6.39%	8.28%	9.47%	9.36%	9.23%	13.60%	15.13%	14.08%	14.98%	11.92%	6.16%
Max Decline		12.45%	14.66%	17.78%	22.61%	19.01%	23.62%	31.56%	34.01%	29.94%	27.60%	13.67%
Avg Days To Max Decline		21	20	19	18	24	19	17	15	20	13	12
Avg Max Increase		-4.48%	-2.73%	-1.96%	-1.96%	-4.57%	-1.96%	-2.54%	-3.42%	-6.67%	-4.70%	-4.55%
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		11	14	4	8	13	6	6	6	7	8	2
2016 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes		Yes	Yes
Action		Yes		Yes	Yes	Yes	Yes	Yes		Yes	Yes
High	3.035	3.170	3.135	3.103	3.036	2.907	2.760	2.602	2.466	2.549	2.320	2.032
Low	2.902	2.948	2.927	2.956	2.799	2.689	2.374	2.334	2.087	2.206	1.778	1.731
Close/Last	3.022	2.955	3.056	2.965	2.834	2.695	2.481	2.391	2.424	2.368	1.808	1.959