MRCI's ScenarioSM Study

ScenarioSM Study for June 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		22	23	23	23	23	23	23	23	23	23	23
Closed Higher		10	13	10	12	6	5	9	11	12	16	11
Exceeded High		5	11	8	9	4	4	8	10	10	16	8
Scenario Percentage		50%	85%	80%	75%	67%	80%	89%	91%	83%	100%	73%
Avg Max Increase		9.71%	12.48%	9.37%	7.70%	8.72%	13.84%	18.12%	18.04%	23.92%	16.42%	16.87%
Max Increase		27.75%	40.81%	22.49%	14.62%	16.75%	26.34%	49.02%	34.72%	54.16%	52.28%	43.27%
Avg Days To Max Increase		14	21	18	19	17	14	18	21	17	18	16
Avg Max Decline		-1.71%	-2.91%	-2.21%	-4.10%	-2.15%	-3.77%	-1.18%	-3.49%	-3.29%	-5.05%	-3.10%
Max Decline		-3.16%	-10.98%	-4.34%	-13.06%	-4.32%	-10.51%	-5.56%	-6.29%	-8.24%	-9.02%	-8.56%
Avg Days to Max Decline		10	12	8	12	4	22	7	10	7	9	2
2013 Contract Condition		Yes	Yes		Yes	Yes			Yes	Yes	Yes	Yes
Action		Yes	Yes		Yes	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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		22	23	23	23	23	23	23	23	23	23	23
Closed Lower		12	10	13	11	17	18	14	12	11	7	12
Penetrated Low		9	8	11	10	13	14	13	10	9	7	9
Scenario Percentage		75%	80%	85%	91%	76%	78%	93%	83%	82%	100%	75%
Avg Max Decline		8.10%	9.54%	8.52%	8.19%	12.31%	13.72%	11.13%	12.62%	11.93%	11.02%	7.82%
Max Decline		14.02%	17.20%	22.34%	18.69%	23.19%	31.08%	29.74%	28.30%	26.89%	22.12%	15.87%
Avg Days To Max Decline		18	19	17	24	19	15	15	17	21	17	16
Avg Max Increase		-2.77%	-2.23%	-1.58%	-4.54%	-1.43%	-2.50%	-2.74%	-5.73%	-3.95%	-5.73%	-2.86%
Max Increase		-12.48%	-5.35%	-7.18%	-19.06%	-6.16%	-8.25%	-15.44%	-11.97%	-20.14%	-11.59%	-8.82%
Avg Days to Max Increase		14	3	9	13	4	7	7	7	18	9	4
2013 Contract Condition				Yes			Yes	Yes
Action				No			Yes	Yes
High	3.655	3.606	3.744	3.707	3.797	4.031	4.035	3.808	3.763	3.646	4.160	4.457
Low	3.302	3.213	3.445	3.290	3.317	3.764	3.630	3.450	3.204	3.325	3.511	3.911
Close/Last	3.375	3.513	3.696	3.434	3.791	3.840	3.650	3.508	3.515	3.579	4.066	4.343