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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   23 23 23 23 23 23 23 24 24 24 24
Closed Higher   8 5 11 10 15 16 14 13 10 10 10
Exceeded High   5 4 8 10 13 16 13 8 7 9 8
Scenario Percentage   63% 80% 73% 100% 87% 100% 93% 62% 70% 90% 80%
Avg Max Increase   6.51% 11.35% 14.95% 15.32% 17.18% 14.44% 13.86% 14.34% 19.39% 26.84% 16.62%
Max Increase   13.84% 26.17% 40.28% 29.61% 45.23% 50.99% 44.79% 25.61% 73.17% 68.95% 32.10%
Avg Days To Max Increase   12 8 21 24 16 16 14 21 19 15 20
Avg Max Decline   -1.43% -1.79% -1.82% -3.15% -2.17% -3.57% -4.21% -5.54% -6.69% -5.58% -3.55%
Max Decline   -4.29% -2.44% -3.57% -5.39% -6.85% -7.82% -11.85% -12.50% -17.71% -12.12% -7.53%
Avg Days to Max Decline   4 4 11 9 6 8 10 10 10 5 5
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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   23 23 23 23 23 23 23 24 24 24 24
Closed Lower   13 16 12 13 8 7 9 11 14 14 14
Penetrated Low   9 13 11 9 5 7 7 10 12 13 11
Scenario Percentage   69% 81% 92% 69% 63% 100% 78% 91% 86% 93% 79%
Avg Max Decline   11.69% 11.09% 10.02% 12.53% 14.08% 10.40% 14.64% 16.62% 16.71% 17.29% 12.38%
Max Decline   21.74% 28.99% 28.37% 24.63% 21.22% 25.09% 34.29% 26.66% 30.69% 38.37% 27.25%
Avg Days To Max Decline   18 10 18 21 20 21 24 22 25 13 14
Avg Max Increase   -1.40% -2.22% -2.15% -5.29% -2.14% -4.66% -5.14% -7.09% -7.29% -7.01% -4.96%
Max Increase   -6.07% -6.24% -9.20% -10.64% -4.47% -11.44% -10.74% -14.11% -31.42% -14.39% -14.29%
Avg Days to Max Increase   7 7 6 10 6 11 10 13 23 7 5
2013 Contract Condition     Yes Yes         Yes Yes Yes  
Action     Yes Yes         Yes Yes Yes  
High 3.888 4.123 4.135 3.912 3.867 3.754 4.191 4.496 4.525 4.056 3.844 3.655
Low 3.417 3.859 3.732 3.553 3.338 3.440 3.642 3.989 3.974 3.542 3.440 3.154
Close/Last 3.880 3.940 3.751 3.630 3.636 3.699 4.128 4.424 4.010 3.572 3.471 3.581

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