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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 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   26 26 26 26 26 26 26 27 27 27 27
Closed Higher   8 6 13 11 17 17 17 14 12 10 11
Exceeded High   5 5 10 11 13 17 16 9 8 9 8
Scenario Percentage   63% 83% 77% 100% 76% 100% 94% 64% 67% 90% 73%
Avg Max Increase   6.51% 11.61% 14.16% 14.85% 17.18% 14.35% 13.19% 14.91% 17.28% 27.61% 17.47%
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 20 24 16 16 16 18 17 15 21
Avg Max Decline   -1.43% -1.72% -2.26% -2.94% -2.17% -3.50% -4.80% -4.95% -5.99% -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 10 9 6 8 11 9 9 5 5
2016 Contract Condition       Yes     Yes Yes Yes Yes    
Action       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   26 26 26 26 26 26 26 27 27 27 27
Closed Lower   16 18 13 15 9 9 9 13 15 17 16
Penetrated Low   12 15 12 11 6 9 7 12 13 15 12
Scenario Percentage   75% 83% 92% 73% 67% 100% 78% 92% 87% 88% 75%
Avg Max Decline   11.80% 11.85% 9.92% 12.12% 12.28% 9.15% 14.64% 15.47% 16.63% 16.31% 12.77%
Max Decline   21.74% 28.99% 28.37% 24.63% 21.22% 25.09% 34.29% 26.66% 30.69% 38.37% 33.04%
Avg Days To Max Decline   17 12 16 18 18 21 24 21 25 13 15
Avg Max Increase   -1.81% -1.97% -2.65% -4.46% -2.13% -4.92% -5.14% -6.90% -6.78% -6.60% -4.87%
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 6 7 9 5 12 10 13 21 7 6
2016 Contract Condition   Yes Yes   Yes Yes         Yes Yes
Action   Yes Yes   Yes No         Yes Not Yet
High 2.995 2.857 2.726 2.593 2.679 2.462 2.379 2.583 2.545 2.994 3.022 2.949
Low 2.794 2.524 2.469 2.270 2.392 2.049 2.052 2.236 2.277 2.524 2.632 2.580
Close/Last 2.801 2.614 2.518 2.545 2.501 2.093 2.289 2.525 2.529 2.948 2.917 2.887

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