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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   23 23 23 23 23 23 23 23 23 24 24
Closed Higher   10 14 8 5 8 12 14 16 14 12 10
Exceeded High   8 10 5 4 6 11 13 16 13 8 4
Scenario Percentage   80% 71% 63% 80% 75% 92% 93% 100% 93% 67% 40%
Avg Max Increase   9.88% 7.21% 6.70% 11.53% 17.98% 15.85% 18.40% 15.80% 15.72% 16.83% 11.08%
Max Increase   23.34% 15.36% 13.57% 26.45% 41.51% 29.66% 48.98% 52.12% 47.41% 28.82% 18.75%
Avg Days To Max Increase   20 18 15 16 20 24 17 16 13 19 17
Avg Max Decline   -2.19% -4.05% -1.59% -2.32% -0.85% -3.27% -2.75% -4.06% -4.92% -6.12% -4.40%
Max Decline   -4.89% -13.01% -4.20% -4.16% -4.20% -5.42% -6.66% -8.17% -12.70% -12.50% -12.28%
Avg Days to Max Decline   8 11 3 12 8 11 9 11 10 12 6
2013 Contract Condition     Yes Yes     Yes Yes Yes Yes    
Action     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   23 23 23 23 23 23 23 23 23 24 24
Closed Lower   13 9 15 18 15 11 9 7 9 12 14
Penetrated Low   11 8 11 15 12 8 7 7 7 11 11
Scenario Percentage   85% 89% 73% 83% 80% 73% 78% 100% 78% 92% 79%
Avg Max Decline   8.28% 7.91% 11.73% 11.78% 10.28% 13.11% 11.79% 11.32% 16.23% 16.57% 10.45%
Max Decline   21.05% 17.97% 22.09% 29.97% 28.66% 25.57% 23.91% 27.18% 36.75% 28.58% 15.91%
Avg Days To Max Decline   16 24 19 13 17 20 19 19 22 18 16
Avg Max Increase   -1.64% -2.89% -1.27% -2.18% -2.17% -6.04% -4.53% -4.80% -5.11% -8.07% -2.79%
Max Increase   -6.55% -5.04% -5.89% -7.11% -11.65% -11.28% -21.80% -11.46% -10.17% -14.97% -11.11%
Avg Days to Max Increase   10 11 5 6 5 12 12 11 10 10 5
2013 Contract Condition   Yes     Yes Yes         Yes Yes
Action   No     Yes Yes         Yes Not Yet
High 3.802 3.775 3.852 4.086 4.094 3.865 3.829 3.718 4.200 4.514 4.525 4.056
Low 3.519 3.354 3.382 3.822 3.696 3.532 3.365 3.404 3.604 3.986 3.956 3.526
Close/Last 3.760 3.492 3.846 3.901 3.714 3.590 3.599 3.662 4.130 4.420 4.003 3.565

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