MRCI's ScenarioSM Study

ScenarioSM Study for June Natural Gas(NYM) as of Jan 01, 2016
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		24	25	25	25	25	25	25	25	25	25	25
Closed Higher		10	13	12	12	6	6	10	12	14	16	13
Exceeded High		5	11	9	9	4	5	9	11	10	16	9
Scenario Percentage		50%	85%	75%	75%	67%	83%	90%	92%	71%	100%	69%
Avg Max Increase		9.71%	12.48%	8.79%	7.70%	8.72%	13.91%	18.21%	17.42%	23.92%	16.26%	16.29%
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	16	15
Avg Max Decline		-1.71%	-2.91%	-2.31%	-4.10%	-2.15%	-3.35%	-1.70%	-3.23%	-3.29%	-4.83%	-2.92%
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	3
2015 Contract Condition				Yes						Yes		Yes
Action				No						No		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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		24	25	25	25	25	25	25	25	25	25	25
Closed Lower		14	12	13	13	19	19	15	13	11	9	12
Penetrated Low		11	9	11	12	15	15	14	11	9	9	9
Scenario Percentage		79%	75%	85%	92%	79%	79%	93%	85%	82%	100%	75%
Avg Max Decline		8.02%	9.14%	8.52%	8.22%	12.27%	14.50%	11.02%	11.78%	11.93%	9.82%	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	18	17	23	18	16	14	18	21	17	16
Avg Max Increase		-2.71%	-1.97%	-1.58%	-4.32%	-1.56%	-2.35%	-3.22%	-6.33%	-3.95%	-4.81%	-2.86%
Max Increase		-12.48%	-5.35%	-7.18%	-19.06%	-6.16%	-8.25%	-15.44%	-12.38%	-20.14%	-11.59%	-8.82%
Avg Days to Max Increase		12	3	9	12	4	6	7	8	18	7	4
2015 Contract Condition		Yes	Yes		Yes	Yes	Yes	Yes	Yes		Yes
Action		Yes	No		Yes	Yes	Yes	Yes	Yes		Yes
High	4.238	4.261	4.082	3.910	3.905	3.885	3.872	3.652	3.229	3.096	2.982	2.770
Low	4.000	4.043	3.720	3.742	3.740	3.497	3.615	2.952	2.719	2.671	2.661	2.481
Close/Last	4.099	4.066	3.780	3.896	3.868	3.680	3.642	2.953	2.755	2.812	2.691	2.751