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MRCI's ScenarioSM Study
ScenarioSM Study for May Unleaded Gas(NYM) as of May 16, 2003
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
Tested Years 2 10 12 14 16 17 18 18 18 18 18
Closed Higher 2 5 5 10 7 9 9 9 12 7 13
Exceeded High 1 5 5 9 5 6 6 9 11 7 10
Scenario Percentage 50% 100% 100% 90% 71% 67% 67% 100% 92% 100% 77%
Avg Max Increase 6.77% 6.74% 15.28% 8.81% 5.59% 11.24% 17.79% 11.72% 12.70% 24.10% 11.21%
Max Increase 6.77% 9.35% 52.64% 28.22% 9.64% 17.01% 24.88% 26.92% 31.39% 47.38% 22.82%
Avg Days To Max Increase 29 20 21 16 15 25 14 15 14 18 21
Avg Max Decline -0.19% -2.15% -0.91% -1.05% -2.20% -1.50% -0.60% -1.92% -3.58% -1.92% -2.86%
Max Decline -0.19% -6.34% -1.92% -3.56% -7.87% -5.12% -2.64% -7.47% -11.73% -8.87% -8.74%
Avg Days to Max Decline 1 20 6 11 5 16 4 8 12 6 3
2003 Contract Condition   Yes Yes Yes     Yes Yes Yes Yes  
Action   Yes Yes Yes     Yes Yes Yes Yes  
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Some data provided by Prophetfinance.com
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
Tested Years 2 10 12 14 16 17 18 18 18 18 18
Closed Lower   5 7 4 8 8 9 9 6 11 5
Penetrated Low   3 4 2 6 7 8 6 4 8 4
Scenario Percentage   60% 57% 50% 75% 88% 89% 67% 67% 73% 80%
Avg Max Decline   6.47% 8.20% 3.28% 9.76% 12.41% 10.85% 14.53% 18.22% 8.03% 9.46%
Max Decline   11.29% 11.42% 4.74% 19.23% 19.21% 25.17% 40.25% 34.05% 17.21% 14.32%
Avg Days To Max Decline   22 22 10 17 16 17 19 19 11 12
Avg Max Increase   -1.83% -3.77% -1.66% -1.06% -2.09% -1.72% -4.12% 0.35% -4.06% -2.77%
Max Increase   -3.67% -10.59% -2.70% -2.95% -5.02% -7.00% -9.03% -1.66% -10.04% -5.59%
Avg Days to Max Increase   9 19 8 8 3 15 19 6 17 2
2003 Contract Condition         Yes Yes         Yes
Action         Yes Yes         Yes
High 80.65 78.41 80.14 83.19 83.80 83.65 80.35 92.10 99.70 109.60 115.00
Low 74.13 74.92 76.44 77.10 80.23 78.22 74.30 79.76 87.20 97.90 83.00
Close/Last 75.27 77.76 78.58 83.19 82.40 79.41 80.10 88.25 99.25 108.25 95.70