MRCI's ScenarioSM Study

ScenarioSM Study for December Natural Gas(NYM) as of Jan 01, 2014
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		22	23	23	23	23	24	24	24	24	24	24
Closed Higher		10	12	15	16	16	12	9	12	12	13	8
Exceeded High		7	11	13	16	14	7	5	10	10	11	2
Scenario Percentage		70%	92%	87%	100%	88%	58%	56%	83%	83%	85%	25%
Avg Max Increase		13.70%	12.61%	13.49%	12.62%	11.70%	9.73%	16.36%	19.77%	16.66%	17.55%	26.52%
Max Increase		32.50%	25.43%	34.97%	48.25%	40.77%	15.24%	52.45%	67.45%	32.88%	69.88%	48.46%
Avg Days To Max Increase		21	25	19	17	14	18	13	20	14	17	11
Avg Max Decline		-1.13%	-2.32%	-2.09%	-2.73%	-2.52%	-2.56%	-2.56%	-4.43%	-2.42%	-5.46%	-4.22%
Max Decline		-3.50%	-4.39%	-6.82%	-6.82%	-9.58%	-5.95%	-7.11%	-13.32%	-7.45%	-17.06%	-7.26%
Avg Days to Max Decline		6	9	5	9	7	10	7	8	7	7	3
2013 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		22	23	23	23	23	24	24	24	24	24	24
Closed Lower		12	11	8	7	7	12	15	12	12	11	16
Penetrated Low		10	8	4	7	6	10	13	11	11	10	12
Scenario Percentage		83%	73%	50%	100%	86%	83%	87%	92%	92%	91%	75%
Avg Max Decline		7.62%	9.40%	11.04%	8.07%	10.44%	11.12%	10.84%	12.04%	14.04%	14.48%	10.37%
Max Decline		21.07%	18.72%	14.25%	21.83%	28.01%	19.21%	23.07%	24.65%	30.31%	29.25%	18.72%
Avg Days To Max Decline		14	17	22	22	21	23	22	15	15	17	16
Avg Max Increase		-1.97%	-3.94%	-1.56%	-4.13%	-3.66%	-5.51%	-2.90%	-4.47%	-2.13%	-8.84%	-4.02%
Max Increase		-7.66%	-8.82%	-3.52%	-11.38%	-8.62%	-14.34%	-7.63%	-10.56%	-5.16%	-31.20%	-16.04%
Avg Days to Max Increase		8	8	5	15	17	13	15	7	7	16	4
2013 Contract Condition		Yes					Yes	Yes	Yes		Yes	Yes
Action		Yes					Yes	Yes	Yes		Yes	Yes
High	4.422	4.190	4.145	4.041	4.400	4.695	4.744	4.282	4.061	3.912	4.041	4.000
Low	4.037	3.844	3.660	3.788	3.942	4.222	4.230	3.792	3.705	3.469	3.629	3.560
Close/Last	4.053	3.948	3.962	3.990	4.341	4.656	4.238	3.813	3.752	3.841	3.729	3.581