MRCI's ScenarioSM Study

ScenarioSM Study for September 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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		26	26	26	26	26	26	26	26	27	27	27
Closed Higher		13	8	6	11	12	16	17	18	12	12	10
Exceeded High		9	5	5	10	12	14	17	17	8	8	9
Scenario Percentage		69%	63%	83%	91%	100%	88%	100%	94%	67%	67%	90%
Avg Max Increase		6.35%	6.54%	11.10%	14.17%	15.02%	17.09%	15.18%	14.86%	16.42%	14.51%	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	18	24	17	16	15	21	16	14
Avg Max Decline		-4.38%	-1.74%	-1.62%	-1.27%	-2.79%	-2.62%	-3.78%	-4.91%	-5.72%	-6.48%	-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	7	12	8	8	10	11	9	4
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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years		26	26	26	26	26	26	26	26	27	27	27
Closed Lower		13	18	20	15	12	10	9	8	15	15	17
Penetrated Low		10	14	17	14	9	8	9	6	13	13	13
Scenario Percentage		77%	78%	85%	93%	75%	80%	100%	75%	87%	87%	76%
Avg Max Decline		9.03%	11.69%	12.22%	9.60%	13.05%	10.19%	9.33%	17.35%	16.14%	16.37%	13.26%
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		21	17	14	16	22	17	21	24	21	18	19
Avg Max Increase		-2.57%	-1.66%	-1.87%	-2.46%	-4.88%	-4.33%	-4.86%	-4.33%	-7.13%	-4.45%	-5.21%
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	6	5	6	10	10	12	10	12	18	5
2016 Contract Condition		Yes	Yes	Yes		Yes	Yes			Yes		Yes
Action		Yes	Yes	Yes		Yes	Yes			No		Yes
High	3.088	2.967	2.830	2.700	2.573	2.644	2.432	2.327	2.528	2.451	2.964	2.990
Low	2.875	2.770	2.495	2.446	2.246	2.365	2.010	2.009	2.183	2.195	2.432	2.591
Close/Last	2.901	2.774	2.588	2.498	2.521	2.472	2.054	2.237	2.457	2.438	2.918	2.876