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