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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   22 23 23 23 23 23 23 23 23 23 23
Closed Higher   10 13 10 12 6 5 9 11 12 16 11
Exceeded High   5 11 8 9 4 4 8 10 10 16 8
Scenario Percentage   50% 85% 80% 75% 67% 80% 89% 91% 83% 100% 73%
Avg Max Increase   9.71% 12.48% 9.37% 7.70% 8.72% 13.84% 18.12% 18.04% 23.92% 16.42% 16.87%
Max Increase   27.75% 40.81% 22.49% 14.62% 16.75% 26.34% 49.02% 34.72% 54.16% 52.28% 43.27%
Avg Days To Max Increase   14 21 18 19 17 14 18 21 17 18 16
Avg Max Decline   -1.71% -2.91% -2.21% -4.10% -2.15% -3.77% -1.18% -3.49% -3.29% -5.05% -3.10%
Max Decline   -3.16% -10.98% -4.34% -13.06% -4.32% -10.51% -5.56% -6.29% -8.24% -9.02% -8.56%
Avg Days to Max Decline   10 12 8 12 4 22 7 10 7 9 2
2013 Contract Condition   Yes Yes   Yes Yes     Yes Yes Yes Yes
Action   Yes Yes   Yes Yes     Yes Yes Yes Not Yet
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   22 23 23 23 23 23 23 23 23 23 23
Closed Lower   12 10 13 11 17 18 14 12 11 7 12
Penetrated Low   9 8 11 10 13 14 13 10 9 7 9
Scenario Percentage   75% 80% 85% 91% 76% 78% 93% 83% 82% 100% 75%
Avg Max Decline   8.10% 9.54% 8.52% 8.19% 12.31% 13.72% 11.13% 12.62% 11.93% 11.02% 7.82%
Max Decline   14.02% 17.20% 22.34% 18.69% 23.19% 31.08% 29.74% 28.30% 26.89% 22.12% 15.87%
Avg Days To Max Decline   18 19 17 24 19 15 15 17 21 17 16
Avg Max Increase   -2.77% -2.23% -1.58% -4.54% -1.43% -2.50% -2.74% -5.73% -3.95% -5.73% -2.86%
Max Increase   -12.48% -5.35% -7.18% -19.06% -6.16% -8.25% -15.44% -11.97% -20.14% -11.59% -8.82%
Avg Days to Max Increase   14 3 9 13 4 7 7 7 18 9 4
2013 Contract Condition       Yes     Yes Yes        
Action       No     Yes Yes        
High 3.655 3.606 3.744 3.707 3.797 4.031 4.035 3.808 3.763 3.646 4.160 4.457
Low 3.302 3.213 3.445 3.290 3.317 3.764 3.630 3.450 3.204 3.325 3.511 3.911
Close/Last 3.375 3.513 3.696 3.434 3.791 3.840 3.650 3.508 3.515 3.579 4.066 4.343

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