MRCI's ScenarioSM Study

ScenarioSM Study for December Natural Gas(NYM) as of Dec 30, 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		25	26	26	26	26	27	27	27	27	27	27
Closed Higher		12	13	17	17	19	12	11	13	13	13	8
Exceeded High		9	12	13	17	16	7	6	10	10	11	2
Scenario Percentage		75%	92%	76%	100%	84%	58%	55%	77%	77%	85%	25%
Avg Max Increase		12.93%	12.29%	13.49%	12.58%	11.42%	9.73%	13.88%	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		20	25	19	17	15	18	11	20	14	17	11
Avg Max Decline		-1.60%	-2.17%	-2.09%	-2.65%	-2.81%	-2.56%	-2.29%	-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	6	8	7	7	3
2016 Contract Condition		Yes			Yes	Yes		Yes	Yes
Action		Yes			Yes	Yes		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		25	26	26	26	26	27	27	27	27	27	27
Closed Lower		13	13	9	9	7	15	16	14	14	14	19
Penetrated Low		11	10	4	9	6	12	14	12	13	13	14
Scenario Percentage		85%	77%	44%	100%	86%	80%	88%	86%	93%	93%	74%
Avg Max Decline		7.73%	9.22%	11.04%	7.22%	10.44%	10.70%	11.10%	11.99%	14.33%	15.47%	10.85%
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	19	22	20	21	22	22	16	17	18	16
Avg Max Increase		-2.15%	-3.76%	-1.56%	-4.36%	-3.66%	-5.50%	-2.73%	-4.52%	-2.90%	-8.17%	-3.88%
Max Increase		-7.66%	-8.82%	-3.52%	-11.38%	-8.62%	-14.34%	-7.63%	-10.56%	-11.02%	-31.20%	-16.04%
Avg Days to Max Increase		9	9	5	15	17	12	14	8	10	15	4
2016 Contract Condition			Yes	Yes			Yes			Yes	Yes	Yes
Action			Yes	No			No			Yes	Yes	Yes
High	2.932	2.830	2.890	2.736	2.834	3.062	3.020	3.350	3.368	3.325	3.352	3.556
Low	2.709	2.532	2.637	2.370	2.446	2.700	2.760	2.973	3.095	3.010	3.037	2.972
Close/Last	2.756	2.766	2.742	2.459	2.735	3.028	2.997	3.319	3.320	3.203	3.132	3.026