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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, 2015
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   24 24 24 24 24 24 24 25 25 25 25
Closed Higher   8 6 12 11 16 16 15 13 10 10 11
Exceeded High   5 5 9 11 13 16 14 8 7 9 8
Scenario Percentage   63% 83% 75% 100% 81% 100% 93% 62% 70% 90% 73%
Avg Max Increase   6.51% 11.61% 15.14% 14.85% 17.18% 14.44% 12.96% 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 12 21 24 16 16 14 21 19 15 20
Avg Max Decline   -1.43% -1.72% -2.25% -2.94% -2.17% -3.57% -4.70% -5.54% -6.69% -5.58% -3.55%
Max Decline   -4.29% -2.44% -5.67% -5.39% -6.85% -7.82% -11.85% -12.50% -17.71% -12.12% -7.53%
Avg Days to Max Decline   4 12 11 9 6 8 11 10 10 5 5
2014 Contract Condition     Yes Yes Yes Yes   Yes       Yes
Action     Yes Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   24 24 24 24 24 24 24 25 25 25 25
Closed Lower   14 16 12 13 8 8 9 12 15 15 14
Penetrated Low   10 13 11 9 5 8 7 11 13 13 11
Scenario Percentage   71% 81% 92% 69% 63% 100% 78% 92% 87% 87% 79%
Avg Max Decline   10.96% 11.09% 10.02% 12.53% 14.08% 9.52% 14.64% 16.63% 16.63% 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   16 10 18 21 20 20 24 23 25 13 14
Avg Max Increase   -1.21% -2.22% -2.15% -5.29% -2.14% -5.25% -5.14% -7.24% -6.78% -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   6 7 6 10 6 13 10 14 21 7 5
2014 Contract Condition   Yes         Yes   Yes Yes Yes  
Action   Yes         Yes   Yes Yes Not Yet  
High 4.082 4.089 3.990 4.300 4.490 4.856 4.673 4.850 4.818 4.879 4.460 4.101
Low 3.802 3.742 3.589 3.939 3.926 4.375 4.315 4.300 4.285 4.355 3.740 3.760
Close/Last 3.873 3.754 3.985 4.162 4.410 4.565 4.434 4.818 4.487 4.434 3.867 4.065

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