MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		23	23	23	23	23	23	23	23	24	24	24
Closed Higher		13	8	5	9	11	14	16	15	12	10	10
Exceeded High		9	5	4	8	11	13	16	14	8	7	9
Scenario Percentage		69%	63%	80%	89%	100%	93%	100%	93%	67%	70%	90%
Avg Max Increase		6.35%	6.54%	10.79%	15.00%	15.45%	17.91%	15.32%	15.63%	16.42%	16.23%	13.26%
Max Increase		14.51%	12.72%	25.70%	40.58%	29.66%	48.89%	51.66%	46.20%	29.47%	44.05%	28.45%
Avg Days To Max Increase		17	13	14	19	24	16	16	14	21	18	14
Avg Max Decline		-4.38%	-1.74%	-1.73%	-0.57%	-3.02%	-2.35%	-3.87%	-4.31%	-5.72%	-7.23%	-5.13%
Max Decline		-12.68%	-4.35%	-2.90%	-3.47%	-5.13%	-6.78%	-7.94%	-12.27%	-11.97%	-18.51%	-11.41%
Avg Days to Max Decline		12	4	5	8	13	6	8	10	11	10	4
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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		23	23	23	23	23	23	23	23	24	24	24
Closed Lower		10	15	18	14	10	9	7	8	12	14	14
Penetrated Low		7	11	15	13	7	7	7	6	11	12	11
Scenario Percentage		70%	73%	83%	93%	70%	78%	100%	75%	92%	86%	79%
Avg Max Decline		8.93%	11.57%	11.58%	9.64%	13.74%	11.11%	10.48%	17.35%	17.26%	16.12%	14.25%
Max Decline		17.97%	22.07%	29.50%	28.61%	25.24%	22.92%	25.63%	35.19%	27.88%	32.40%	26.31%
Avg Days To Max Decline		23	17	12	17	26	19	21	24	22	17	19
Avg Max Increase		-2.53%	-1.28%	-2.08%	-2.02%	-6.08%	-4.69%	-4.53%	-4.33%	-7.36%	-4.77%	-5.40%
Max Increase		-4.08%	-5.87%	-6.49%	-10.41%	-10.77%	-23.15%	-11.31%	-10.27%	-14.77%	-13.49%	-16.17%
Avg Days to Max Increase		12	6	6	5	12	11	11	10	12	20	4
2013 Contract Condition				Yes	Yes					Yes	Yes	Yes
Action				Yes	Yes					Yes	Yes	Yes
High	3.780	3.854	4.086	4.100	3.872	3.832	3.721	4.190	4.490	4.517	4.047	3.833
Low	3.359	3.385	3.824	3.701	3.536	3.350	3.420	3.610	3.975	3.957	3.522	3.418
Close/Last	3.495	3.847	3.904	3.716	3.598	3.605	3.667	4.117	4.414	3.997	3.559	3.446