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