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| MRCI's ScenarioSM Study |
| ScenarioSM Study for January Natural Gas(NYM) as of Sep 30, 2007 |
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 |
15 |
16 |
16 |
16 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
| Closed Higher |
10 |
12 |
12 |
11 |
10 |
8 |
10 |
10 |
11 |
7 |
4 |
| Exceeded High |
9 |
10 |
12 |
8 |
6 |
4 |
9 |
8 |
9 |
2 |
3 |
| Scenario Percentage |
90% |
83% |
100% |
73% |
60% |
50% |
90% |
80% |
82% |
29% |
75% |
| Avg Max Increase |
10.82% |
12.52% |
13.45% |
15.64% |
6.57% |
22.50% |
19.77% |
18.58% |
17.52% |
41.82% |
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 |
21 |
16 |
19 |
15 |
20 |
21 |
22 |
13 |
20 |
25 |
22 |
| Avg Max Decline |
-1.99% |
-1.65% |
-1.82% |
-1.57% |
-3.67% |
-5.58% |
-3.96% |
-2.34% |
-5.14% |
-4.19% |
-3.70% |
| Max Decline |
-3.69% |
-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 |
10 |
5 |
9 |
3 |
20 |
16 |
8 |
6 |
8 |
6 |
1 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
|
|
|
Yes |
Yes |
|
| Action |
Yes |
Yes |
Yes |
Yes |
|
|
|
|
Not Yet |
|
|
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 |
15 |
16 |
16 |
16 |
17 |
17 |
17 |
17 |
17 |
17 |
17 |
| Closed Lower |
4 |
4 |
4 |
5 |
7 |
9 |
7 |
7 |
6 |
10 |
13 |
| Penetrated Low |
4 |
|
4 |
5 |
5 |
7 |
6 |
6 |
5 |
8 |
12 |
| Scenario Percentage |
100% |
0% |
100% |
100% |
71% |
78% |
86% |
86% |
83% |
80% |
92% |
| Avg Max Decline |
1.70% |
|
9.24% |
10.77% |
9.67% |
8.65% |
7.51% |
11.40% |
13.76% |
17.81% |
21.72% |
| Max Decline |
4.35% |
|
20.78% |
26.58% |
17.81% |
21.28% |
11.33% |
29.53% |
23.74% |
26.88% |
59.16% |
| Avg Days To Max Decline |
7 |
|
20 |
20 |
22 |
21 |
14 |
11 |
22 |
14 |
9 |
| Avg Max Increase |
-0.88% |
|
-3.64% |
-2.47% |
-7.08% |
-2.90% |
-4.16% |
-4.09% |
-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 |
13 |
15 |
9 |
8 |
25 |
5 |
4 |
| 2008 Contract Condition |
|
|
|
|
Yes |
Yes |
Yes |
Yes |
|
|
|
| Action |
|
|
|
|
Yes |
Yes |
Yes |
Yes |
|
|
|
| High |
9.370 |
9.730 |
9.885 |
10.035 |
10.180 |
10.172 |
9.028 |
9.115 |
8.300 |
8.163 |
|
| Low |
8.630 |
9.200 |
9.150 |
9.590 |
9.800 |
8.810 |
8.430 |
7.775 |
7.650 |
8.110 |
|
| Close/Last |
9.291 |
9.320 |
9.885 |
9.996 |
9.940 |
8.933 |
8.694 |
7.798 |
8.102 |
8.163 |
|
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