MRCI's ScenarioSM Study

ScenarioSM Study for December Natural Gas(NYM) as of Jan 01, 2016
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		24	25	25	25	25	26	26	26	26	26	26
Closed Higher		11	13	17	16	18	12	10	12	13	13	8
Exceeded High		8	12	13	16	15	7	5	10	10	11	2
Scenario Percentage		73%	92%	76%	100%	83%	58%	50%	83%	77%	85%	25%
Avg Max Increase		13.98%	12.29%	13.49%	12.62%	11.47%	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	15	18	13	20	14	17	11
Avg Max Decline		-1.59%	-2.17%	-2.09%	-2.73%	-2.41%	-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
2015 Contract Condition				Yes		Yes		Yes
Action				No		Yes		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		24	25	25	25	25	26	26	26	26	26	26
Closed Lower		13	12	8	9	7	14	16	14	13	13	18
Penetrated Low		11	9	4	9	6	12	14	12	12	12	13
Scenario Percentage		85%	75%	50%	100%	86%	86%	88%	86%	92%	92%	72%
Avg Max Decline		7.73%	8.75%	11.04%	7.22%	10.44%	10.70%	11.10%	11.99%	14.93%	15.20%	10.46%
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		13	18	22	20	21	22	22	16	16	19	16
Avg Max Increase		-2.15%	-4.20%	-1.56%	-4.36%	-3.66%	-5.50%	-2.73%	-4.52%	-2.22%	-7.72%	-4.17%
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		9	9	5	15	17	12	14	8	7	15	5
2015 Contract Condition		Yes	Yes		Yes		Yes		Yes	Yes	Yes	Yes
Action		Yes	Yes		Yes		Yes		Yes	Yes	Yes	Yes
High	4.180	3.981	3.514	3.352	3.259	3.150	3.391	3.283	3.237	3.197	2.998	2.780
Low	3.925	3.376	3.118	3.079	3.043	2.927	3.004	2.969	3.020	2.872	2.694	2.188
Close/Last	3.972	3.378	3.154	3.157	3.078	3.133	3.012	3.134	3.042	2.905	2.701	2.321