MRCI's ScenarioSM Study

ScenarioSM Study for August 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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		25	25	25	25	25	25	25	25	25	26	26
Closed Higher		12	14	8	6	9	13	16	16	16	12	11
Exceeded High		9	10	5	5	7	12	13	16	15	8	4
Scenario Percentage		75%	71%	63%	83%	78%	92%	81%	100%	94%	67%	36%
Avg Max Increase		9.19%	7.21%	6.70%	11.73%	17.93%	15.43%	18.40%	15.80%	14.52%	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%	-5.09%	-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	10	12	6
2015 Contract Condition		Yes						Yes		Yes		Yes
Action		No						No		Yes		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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		25	25	25	25	25	25	25	25	25	26	26
Closed Lower		13	11	17	19	16	12	9	9	9	14	15
Penetrated Low		11	10	13	16	13	9	7	9	7	13	12
Scenario Percentage		85%	91%	76%	84%	81%	75%	78%	100%	78%	93%	80%
Avg Max Decline		8.28%	7.92%	11.68%	12.56%	10.20%	11.95%	11.79%	10.02%	16.23%	15.59%	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	19	14	16	18	19	20	22	18	17
Avg Max Increase		-1.64%	-2.92%	-1.43%	-2.04%	-2.62%	-5.68%	-4.53%	-5.07%	-5.11%	-7.70%	-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	11	4	6	5	11	12	12	10	10	5
2015 Contract Condition			Yes	Yes	Yes	Yes	Yes		Yes		Yes
Action			Yes	Yes	Yes	Yes	Yes		Yes		Yes
High	4.115	3.946	3.938	3.915	3.910	3.676	3.268	3.125	3.050	2.849	3.167	2.977
Low	3.763	3.798	3.788	3.550	3.650	3.025	2.789	2.746	2.750	2.569	2.656	2.588
Close/Last	3.824	3.930	3.900	3.724	3.677	3.026	2.823	2.880	2.782	2.820	2.665	2.832