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MRCI's ScenarioSM Study
ScenarioSM Study for January Natural Gas(NYM) as of Feb 11, 2005
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 13 14 14 14 15 15 15 15 15 15 15
Closed Higher 8 11 10 10 10 6 8 9 10 6 3
Exceeded High 7 9 10 8 6 2 7 7 8 1 3
Scenario Percentage 88% 82% 100% 80% 60% 33% 88% 78% 80% 17% 100%
Avg Max Increase 10.82% 12.51% 14.26% 15.64% 6.57% 13.93% 15.92% 17.17% 19.01% 70.50% 56.39%
Max Increase 24.83% 31.64% 47.87% 40.48% 14.63% 20.25% 40.68% 27.74% 50.25% 70.50% 84.34%
Avg Days To Max Increase 23 18 20 15 20 25 23 15 21 20 22
Avg Max Decline -1.59% -1.66% -2.23% -1.57% -3.67% -8.20% -4.48% -2.38% -5.74% -6.78% -3.70%
Max Decline -2.86% -4.73% -6.07% -4.41% -6.74% -11.16% -15.06% -6.31% -15.91% -6.78% -11.07%
Avg Days to Max Decline 12 6 10 3 20 24 10 7 8 5 1
2005 Contract Condition   Yes Yes Yes Yes   Yes   Yes Yes  
Action   Yes Yes Yes No   Yes   Yes Not Yet  
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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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years 13 14 14 14 15 15 15 15 15 15 15
Closed Lower 4 3 4 4 5 9 7 6 5 9 12
Penetrated Low 4   4 4 4 7 6 5 5 7 11
Scenario Percentage 100% 0% 100% 100% 80% 78% 86% 83% 100% 78% 92%
Avg Max Decline 1.70%   9.24% 12.72% 11.38% 8.65% 7.51% 7.77% 13.76% 18.79% 18.36%
Max Decline 4.35%   20.78% 26.58% 17.81% 21.28% 11.33% 13.64% 23.74% 27.29% 43.70%
Avg Days To Max Decline 7   20 21 23 21 14 8 22 14 11
Avg Max Increase -0.88%   -3.64% -2.70% -6.22% -2.90% -4.16% -4.67% -11.71% -4.14% -9.12%
Max Increase -1.59%   -11.41% -5.79% -13.60% -8.21% -9.41% -12.23% -25.00% -11.72% -53.30%
Avg Days to Max Increase 1   11 12 12 15 9 9 25 4 4
2005 Contract Condition Yes         Yes   Yes     Yes
Action Yes         Yes   Yes     Yes
High 6.000 5.950 6.438 6.586 7.230 7.204 7.100 7.140 8.200 9.970 9.820
Low 5.590 5.575 5.880 6.190 6.470 6.650 6.710 6.610 5.960 7.825 7.410
Close/Last 5.590 5.944 6.438 6.443 6.977 6.813 7.017 6.637 8.030 9.383 7.620