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