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