MRCI's ScenarioSM Study

ScenarioSM Study for August Natural Gas(NYM) as of Dec 30, 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		26	26	26	26	26	26	26	26	26	27	27
Closed Higher		12	14	8	6	10	13	16	17	17	12	12
Exceeded High		9	10	5	5	8	12	13	17	16	8	5
Scenario Percentage		75%	71%	63%	83%	80%	92%	81%	100%	94%	67%	42%
Avg Max Increase		9.19%	7.21%	6.70%	11.73%	16.30%	15.43%	18.40%	15.62%	15.07%	16.57%	8.96%
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	19	24	17	16	15	18	13
Avg Max Decline		-2.31%	-4.05%	-1.59%	-2.17%	-1.70%	-3.04%	-2.75%	-3.98%	-5.43%	-6.12%	-3.74%
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	7	11	9	10	11	12	5
2016 Contract Condition						Yes			Yes	Yes		Yes
Action						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		26	26	26	26	26	26	26	26	26	27	27
Closed Lower		14	12	18	20	16	13	10	9	9	15	15
Penetrated Low		12	11	14	17	13	10	8	9	7	13	12
Scenario Percentage		86%	92%	78%	85%	81%	77%	80%	100%	78%	87%	80%
Avg Max Decline		8.78%	8.29%	11.82%	12.43%	10.20%	12.68%	10.79%	10.02%	16.23%	15.57%	10.83%
Max Decline		21.05%	17.97%	22.09%	29.97%	28.66%	25.57%	23.91%	27.18%	36.75%	28.58%	16.07%
Avg Days To Max Decline		17	22	19	14	16	17	17	20	22	18	17
Avg Max Increase		-1.69%	-2.83%	-1.63%	-1.94%	-2.62%	-4.91%	-4.18%	-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	5	6	5	10	11	12	10	10	5
2016 Contract Condition		Yes	Yes	Yes	Yes		Yes	Yes			Yes
Action		Yes	Yes	Yes	Yes		Yes	No			Not Yet
High	3.180	3.096	2.971	2.836	2.697	2.576	2.646	2.419	2.295	2.494	2.409	2.974
Low	3.030	2.880	2.774	2.490	2.445	2.237	2.363	1.990	1.994	2.151	2.157	2.375
Close/Last	3.037	2.905	2.780	2.589	2.498	2.523	2.469	2.034	2.212	2.412	2.383	2.924