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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   23 24 24 24 24 24 24 24 24 24 24
Closed Higher   10 13 11 12 6 6 10 12 13 16 12
Exceeded High   5 11 9 9 4 5 9 11 10 16 8
Scenario Percentage   50% 85% 82% 75% 67% 83% 90% 92% 77% 100% 67%
Avg Max Increase   9.71% 12.48% 8.79% 7.70% 8.72% 13.91% 18.21% 17.42% 23.92% 16.34% 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 17 18 22 17 17 16
Avg Max Decline   -1.71% -2.91% -2.31% -4.10% -2.15% -3.35% -1.70% -3.23% -3.29% -4.83% -3.10%
Max Decline   -3.16% -10.98% -4.34% -13.06% -4.32% -10.51% -5.83% -6.29% -8.24% -9.02% -8.56%
Avg Days to Max Decline   10 12 11 12 4 26 8 9 7 7 2
2014 Contract Condition       Yes     Yes Yes Yes Yes   Yes
Action       Yes     Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   23 24 24 24 24 24 24 24 24 24 24
Closed Lower   13 11 13 12 18 18 14 12 11 8 12
Penetrated Low   10 9 11 11 14 14 13 10 9 8 9
Scenario Percentage   77% 82% 85% 92% 78% 78% 93% 83% 82% 100% 75%
Avg Max Decline   7.98% 9.14% 8.52% 8.10% 11.74% 13.72% 11.13% 12.62% 11.93% 10.07% 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   17 18 17 22 18 15 15 17 21 15 16
Avg Max Increase   -2.94% -1.97% -1.58% -4.68% -1.30% -2.50% -2.74% -5.73% -3.95% -5.07% -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   13 3 9 13 4 7 7 7 18 8 4
2014 Contract Condition   Yes Yes   Yes Yes         Yes  
Action   Yes Yes   Yes Yes         Yes  
High 4.313 4.145 4.020 3.930 3.996 4.041 3.942 4.244 4.499 4.893 4.680 4.852
Low 4.061 3.835 3.781 3.583 3.762 3.683 3.537 3.889 3.874 4.367 4.290 4.255
Close/Last 4.102 3.847 3.809 3.882 3.811 3.697 3.940 4.114 4.396 4.568 4.404 4.815

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