MRCI's ScenarioSM Study

ScenarioSM Study for July 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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		22	23	23	23	23	23	23	23	23	23	24
Closed Higher		12	10	12	7	5	9	12	13	16	14	12
Exceeded High		10	8	9	5	4	7	11	11	16	13	7
Scenario Percentage		83%	80%	75%	71%	80%	78%	92%	85%	100%	93%	58%
Avg Max Increase		12.91%	9.42%	7.54%	6.79%	12.29%	18.84%	16.64%	21.43%	16.03%	14.75%	9.54%
Max Increase		40.16%	22.45%	15.07%	13.68%	26.86%	45.30%	32.40%	51.42%	53.57%	45.35%	19.70%
Avg Days To Max Increase		21	18	18	15	14	21	24	18	16	12	13
Avg Max Decline		-3.16%	-2.21%	-4.15%	-1.69%	-4.23%	-1.05%	-3.51%	-2.90%	-4.83%	-4.80%	-3.10%
Max Decline		-10.94%	-4.34%	-12.87%	-4.64%	-11.21%	-5.20%	-6.30%	-7.01%	-8.65%	-14.73%	-12.76%
Avg Days to Max Decline		13	8	12	4	16	8	10	8	11	7	2
2013 Contract Condition		Yes		Yes	Yes			Yes	Yes	Yes	Yes
Action		Yes		Yes	Yes			Yes	Yes	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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		22	23	23	23	23	23	23	23	23	23	24
Closed Lower		10	13	9	15	18	14	11	9	7	9	12
Penetrated Low		9	12	8	10	14	12	8	6	7	7	9
Scenario Percentage		90%	92%	89%	67%	78%	86%	73%	67%	100%	78%	75%
Avg Max Decline		8.57%	7.78%	8.23%	12.87%	12.93%	10.86%	13.88%	14.68%	12.37%	13.45%	10.05%
Max Decline		16.71%	21.80%	18.48%	22.56%	30.46%	28.87%	26.72%	25.30%	28.35%	28.02%	14.06%
Avg Days To Max Decline		21	15	26	19	14	18	23	22	19	16	18
Avg Max Increase		-1.98%	-1.25%	-4.95%	-1.31%	-2.46%	-2.55%	-6.36%	-5.20%	-5.30%	-4.47%	-4.33%
Max Increase		-5.10%	-3.76%	-19.21%	-5.86%	-7.26%	-12.14%	-11.88%	-20.94%	-11.42%	-10.19%	-13.44%
Avg Days to Max Increase		3	12	14	3	7	5	9	14	9	7	5
2013 Contract Condition			Yes			Yes	Yes					Yes
Action			No			Yes	Yes					Yes
High	3.652	3.781	3.754	3.835	4.071	4.077	3.846	3.810	3.695	4.205	4.497	4.499
Low	3.256	3.497	3.330	3.350	3.798	3.676	3.500	3.336	3.382	3.569	3.963	3.933
Close/Last	3.559	3.739	3.473	3.828	3.880	3.693	3.562	3.574	3.634	4.113	4.394	3.984