MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		23	24	24	24	24	25	25	25	25	25	25
Closed Higher		11	13	16	16	17	12	9	12	13	13	8
Exceeded High		8	12	13	16	14	7	5	10	10	11	2
Scenario Percentage		73%	92%	81%	100%	82%	58%	56%	83%	77%	85%	25%
Avg Max Increase		13.98%	12.29%	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		22	25	19	17	14	18	13	20	14	17	11
Avg Max Decline		-1.59%	-2.17%	-2.09%	-2.73%	-2.52%	-2.56%	-2.56%	-4.43%	-2.42%	-5.46%	-4.22%
Max Decline		-4.82%	-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
2014 Contract Condition		Yes	Yes	Yes		Yes				Yes
Action		Yes	Yes	No		No				No

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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		23	24	24	24	24	25	25	25	25	25	25
Closed Lower		12	11	8	8	7	13	16	13	12	12	17
Penetrated Low		10	8	4	8	6	11	14	11	11	11	12
Scenario Percentage		83%	73%	50%	100%	86%	85%	88%	85%	92%	92%	71%
Avg Max Decline		7.62%	9.40%	11.04%	7.51%	10.44%	11.55%	11.10%	12.04%	14.04%	14.40%	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	21	21	24	22	15	15	18	16
Avg Max Increase		-1.97%	-3.94%	-1.56%	-4.68%	-3.66%	-5.76%	-2.73%	-4.47%	-2.13%	-8.16%	-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	17	17	13	14	7	7	15	4
2014 Contract Condition					Yes		Yes	Yes	Yes		Yes	Yes
Action					Yes		Yes	Yes	No		Yes	Not Yet
High	4.166	4.433	4.683	5.000	4.819	4.988	4.951	4.985	4.555	4.252	4.242	4.246
Low	3.796	4.122	4.104	4.575	4.492	4.460	4.430	4.457	3.877	3.935	3.901	3.620
Close/Last	4.162	4.312	4.596	4.705	4.596	4.955	4.606	4.532	4.005	4.197	4.190	3.873