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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   25 25 25 25 25 25 25 25 26 26 26
Closed Higher   13 8 6 10 12 16 16 17 12 11 10
Exceeded High   9 5 5 9 12 14 16 16 8 7 9
Scenario Percentage   69% 63% 83% 90% 100% 88% 100% 94% 67% 64% 90%
Avg Max Increase   6.35% 6.54% 11.10% 15.21% 15.02% 17.09% 15.32% 14.50% 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 15 21 18 14
Avg Max Decline   -4.38% -1.74% -1.62% -1.10% -2.79% -2.62% -3.87% -4.55% -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 9 11 10 4
2015 Contract Condition             Yes   Yes   Yes  
Action             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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   25 25 25 25 25 25 25 25 26 26 26
Closed Lower   12 17 19 15 11 9 9 8 14 15 16
Penetrated Low   9 13 16 14 8 7 9 6 13 13 12
Scenario Percentage   75% 76% 84% 93% 73% 78% 100% 75% 93% 87% 75%
Avg Max Decline   8.72% 11.57% 12.36% 9.60% 12.34% 11.11% 9.33% 17.35% 16.14% 15.21% 12.18%
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 17 13 16 24 19 21 24 21 17 19
Avg Max Increase   -2.63% -1.45% -1.95% -2.46% -5.69% -4.69% -4.86% -4.33% -7.13% -4.45% -5.62%
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   11 5 6 6 11 11 12 10 12 18 5
2015 Contract Condition   Yes Yes Yes Yes Yes   Yes   Yes   Yes
Action   Yes Yes Yes Yes Yes   Yes   Yes   Yes
High 3.934 3.926 3.903 3.907 3.661 3.257 3.116 3.025 2.852 3.163 2.988 2.957
Low 3.780 3.775 3.543 3.639 3.011 2.779 2.740 2.754 2.589 2.666 2.600 2.656
Close/Last 3.918 3.890 3.717 3.660 3.011 2.812 2.870 2.786 2.828 2.675 2.842 2.716

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