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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   24 24 24 24 24 24 25 25 25 25 25
Closed Higher   7 11 12 16 16 16 13 10 11 12 14
Exceeded High   5 8 12 13 16 13 8 5 9 10 13
Scenario Percentage   71% 73% 100% 81% 100% 81% 62% 50% 82% 83% 93%
Avg Max Increase   11.20% 14.70% 13.08% 15.22% 13.52% 12.95% 9.66% 21.79% 23.70% 16.23% 10.84%
Max Increase   25.82% 36.54% 27.29% 40.36% 49.68% 42.55% 17.99% 61.21% 71.77% 36.43% 25.39%
Avg Days To Max Increase   12 21 25 19 16 14 19 24 19 13 17
Avg Max Decline   -1.15% -1.34% -2.60% -1.97% -2.88% -3.82% -5.84% -6.04% -6.20% -3.30% -5.15%
Max Decline   -2.54% -5.09% -5.09% -7.06% -7.12% -11.02% -16.13% -16.70% -20.10% -7.84% -14.71%
Avg Days to Max Decline   10 7 13 6 7 8 13 11 10 8 5
2014 Contract Condition   Yes Yes Yes Yes   Yes       Yes Yes
Action   Yes Yes Yes No   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   24 24 24 24 24 24 25 25 25 25 25
Closed Lower   17 13 12 8 8 8 12 15 14 13 11
Penetrated Low   14 11 9 5 7 6 10 13 11 12 9
Scenario Percentage   82% 85% 75% 63% 88% 75% 83% 87% 79% 92% 82%
Avg Max Decline   10.43% 8.62% 9.66% 11.51% 8.87% 11.46% 13.54% 12.88% 14.69% 15.58% 9.02%
Max Decline   27.32% 24.57% 20.93% 16.57% 23.43% 30.43% 22.33% 26.51% 25.58% 35.90% 19.47%
Avg Days To Max Decline   13 16 18 21 21 22 22 23 14 15 17
Avg Max Increase   -2.02% -2.05% -4.45% -1.75% -4.41% -3.92% -7.23% -3.57% -5.34% -4.94% -4.89%
Max Increase   -5.70% -8.20% -10.46% -3.88% -11.43% -9.07% -14.01% -9.10% -11.98% -16.44% -20.08%
Avg Days to Max Increase   7 8 6 6 12 10 13 17 7 11 3
2014 Contract Condition           Yes   Yes Yes Yes    
Action           Yes   Yes Yes No    
High 4.147 4.046 4.330 4.550 4.889 4.713 4.880 4.841 4.905 4.487 4.163 4.178
Low 3.803 3.658 4.008 3.990 4.444 4.367 4.351 4.320 4.389 3.786 3.835 3.812
Close/Last 3.820 4.043 4.204 4.467 4.605 4.483 4.855 4.518 4.464 3.925 4.116 4.121

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