MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		24	24	24	24	24	24	24	24	25	25	25
Closed Higher		13	8	6	10	12	15	16	16	12	10	10
Exceeded High		9	5	5	9	12	14	16	15	8	7	9
Scenario Percentage		69%	63%	83%	90%	100%	93%	100%	94%	67%	70%	90%
Avg Max Increase		6.35%	6.54%	11.10%	15.21%	15.02%	17.09%	15.32%	14.67%	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	17	19	24	17	16	14	21	18	14
Avg Max Decline		-4.38%	-1.74%	-1.62%	-1.10%	-2.79%	-2.62%	-3.87%	-4.78%	-5.72%	-7.23%	-5.13%
Max Decline		-12.68%	-4.35%	-2.90%	-5.36%	-5.13%	-6.78%	-7.94%	-12.27%	-11.97%	-18.51%	-11.41%
Avg Days to Max Decline		12	4	12	8	12	8	8	10	11	10	4
2014 Contract Condition				Yes	Yes	Yes	Yes		Yes
Action				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		24	24	24	24	24	24	24	24	25	25	25
Closed Lower		11	16	18	14	10	9	8	8	13	15	15
Penetrated Low		8	12	15	13	7	7	8	6	12	13	11
Scenario Percentage		73%	75%	83%	93%	70%	78%	100%	75%	92%	87%	73%
Avg Max Decline		8.70%	10.95%	11.58%	9.64%	13.74%	11.11%	9.61%	17.35%	17.25%	15.21%	12.98%
Max Decline		17.97%	22.07%	29.50%	28.61%	25.24%	22.92%	25.63%	35.19%	27.88%	31.54%	25.38%
Avg Days To Max Decline		21	16	12	17	26	19	20	24	23	17	19
Avg Max Increase		-2.92%	-1.15%	-2.08%	-2.02%	-6.08%	-4.69%	-5.17%	-4.33%	-7.46%	-4.45%	-5.40%
Max Increase		-5.63%	-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	5	6	5	12	11	13	10	13	18	4
2014 Contract Condition		Yes	Yes					Yes		Yes	Yes	Yes
Action		Yes	Yes					Yes		Yes	Yes	Not Yet
High	3.960	4.039	4.072	3.973	4.290	4.460	4.843	4.661	4.845	4.817	4.874	4.467
Low	3.650	3.800	3.723	3.582	3.925	3.923	4.383	4.307	4.280	4.264	4.357	3.725
Close/Last	3.931	3.855	3.738	3.970	4.145	4.393	4.557	4.420	4.813	4.492	4.440	3.841