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| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Natural Gas(NYM) as of Sep 30, 2006 |
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 |
14 |
15 |
15 |
15 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
| Closed Higher |
9 |
12 |
11 |
10 |
10 |
7 |
9 |
10 |
11 |
6 |
3 |
| Exceeded High |
8 |
10 |
11 |
8 |
6 |
3 |
8 |
8 |
9 |
1 |
3 |
| Scenario Percentage |
89% |
83% |
100% |
80% |
60% |
43% |
89% |
80% |
82% |
17% |
100% |
| Avg Max Increase |
11.89% |
12.52% |
13.13% |
15.64% |
6.57% |
25.34% |
22.04% |
18.58% |
17.52% |
70.50% |
55.63% |
| Max Increase |
24.83% |
31.64% |
47.87% |
40.48% |
14.63% |
48.16% |
64.91% |
28.43% |
50.25% |
70.50% |
84.34% |
| Avg Days To Max Increase |
24 |
16 |
19 |
15 |
20 |
27 |
24 |
13 |
20 |
20 |
22 |
| Avg Max Decline |
-1.78% |
-1.65% |
-2.05% |
-1.57% |
-3.67% |
-5.44% |
-3.83% |
-2.34% |
-5.14% |
-6.78% |
-3.70% |
| Max Decline |
-3.09% |
-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 |
11 |
5 |
9 |
3 |
20 |
16 |
9 |
6 |
8 |
5 |
1 |
| 2007 Contract Condition |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
|
Yes |
|
| Action |
Yes |
|
Yes |
No |
|
Yes |
Yes |
|
|
|
|
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 |
14 |
15 |
15 |
15 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
| Closed Lower |
4 |
3 |
4 |
5 |
6 |
9 |
7 |
6 |
5 |
10 |
13 |
| Penetrated Low |
4 |
|
4 |
5 |
4 |
7 |
6 |
5 |
5 |
8 |
12 |
| Scenario Percentage |
100% |
0% |
100% |
100% |
67% |
78% |
86% |
83% |
100% |
80% |
92% |
| Avg Max Decline |
1.70% |
|
9.24% |
10.77% |
11.38% |
8.65% |
7.51% |
7.77% |
13.76% |
17.81% |
21.72% |
| Max Decline |
4.35% |
|
20.78% |
26.58% |
17.81% |
21.28% |
11.33% |
13.64% |
23.74% |
26.88% |
59.16% |
| Avg Days To Max Decline |
7 |
|
20 |
20 |
23 |
21 |
14 |
8 |
22 |
14 |
9 |
| Avg Max Increase |
-0.88% |
|
-3.64% |
-2.47% |
-6.22% |
-2.90% |
-4.16% |
-4.67% |
-11.71% |
-4.13% |
-10.48% |
| 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 |
5 |
4 |
| 2007 Contract Condition |
|
Yes |
|
|
Yes |
|
|
Yes |
Yes |
|
|
| Action |
|
No |
|
|
Yes |
|
|
Yes |
Not Yet |
|
|
| High |
12.014 |
12.150 |
11.250 |
12.530 |
11.650 |
11.150 |
11.700 |
11.880 |
10.750 |
7.980 |
|
| Low |
10.920 |
10.030 |
10.260 |
10.795 |
9.900 |
10.020 |
9.800 |
10.530 |
7.490 |
7.840 |
|
| Close/Last |
11.881 |
10.430 |
10.715 |
11.358 |
10.086 |
10.424 |
11.691 |
10.628 |
7.800 |
7.893 |
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