MRCI's ScenarioSM Study

ScenarioSM Study for August 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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		24	24	24	24	24	24	24	24	24	25	25
Closed Higher		11	14	8	6	9	13	15	16	15	12	10
Exceeded High		9	10	5	5	7	12	13	16	14	8	4
Scenario Percentage		82%	71%	63%	83%	78%	92%	87%	100%	93%	67%	40%
Avg Max Increase		9.19%	7.21%	6.70%	11.73%	17.93%	15.43%	18.40%	15.80%	14.68%	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		19	18	15	19	21	24	17	16	14	19	17
Avg Max Decline		-2.31%	-4.05%	-1.59%	-2.17%	-1.54%	-3.04%	-2.75%	-4.06%	-5.37%	-6.12%	-4.40%
Max Decline		-4.89%	-13.01%	-4.20%	-4.16%	-5.68%	-5.42%	-6.66%	-8.17%	-12.70%	-12.50%	-12.28%
Avg Days to Max Decline		11	11	3	18	8	11	9	11	11	12	6
2014 Contract Condition		Yes			Yes	Yes	Yes	Yes		Yes
Action		Yes			Yes	Yes	Yes	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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		24	24	24	24	24	24	24	24	24	25	25
Closed Lower		13	10	16	18	15	11	9	8	9	13	15
Penetrated Low		11	9	12	15	12	8	7	8	7	12	12
Scenario Percentage		85%	90%	75%	83%	80%	73%	78%	100%	78%	92%	80%
Avg Max Decline		8.28%	7.80%	11.09%	11.78%	10.28%	13.11%	11.79%	10.31%	16.23%	16.65%	10.95%
Max Decline		21.05%	17.97%	22.09%	29.97%	28.66%	25.57%	23.91%	27.18%	36.75%	28.58%	16.43%
Avg Days To Max Decline		16	22	18	13	17	20	19	19	22	19	17
Avg Max Increase		-1.64%	-3.20%	-1.14%	-2.18%	-2.17%	-6.04%	-4.53%	-5.41%	-5.11%	-8.07%	-2.61%
Max Increase		-6.55%	-5.65%	-5.89%	-7.11%	-11.65%	-11.28%	-21.80%	-11.46%	-10.17%	-14.97%	-11.11%
Avg Days to Max Increase		10	12	4	6	5	12	12	13	10	10	5
2014 Contract Condition			Yes	Yes					Yes		Yes	Yes
Action			Yes	Yes					Yes		Yes	Yes
High	4.058	3.959	4.029	4.077	3.985	4.285	4.483	4.891	4.700	4.870	4.841	4.893
Low	3.835	3.650	3.810	3.743	3.593	3.936	3.921	4.390	4.324	4.300	4.296	4.375
Close/Last	3.861	3.932	3.859	3.748	3.983	4.157	4.415	4.586	4.442	4.838	4.524	4.461