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MRCI's ScenarioSM Study
ScenarioSM Study for February Natural Gas(NYM) as of Mar 19, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 12 12 12 13 13 13 13 13 13 13 13
Closed Higher 9 9 7 7 5 7 6 8 6 3 4
Exceeded High 8 9 7 5 1 6 5 6 1 3 2
Scenario Percentage 89% 100% 100% 71% 20% 86% 83% 75% 17% 100% 50%
Avg Max Increase 13.18% 14.88% 11.17% 6.79% 7.54% 14.20% 19.43% 16.92% 63.61% 49.24% 20.26%
Max Increase 31.04% 47.84% 40.31% 13.99% 7.54% 25.21% 27.84% 34.35% 63.61% 61.54% 22.15%
Avg Days To Max Increase 17 20 14 27 26 21 18 22 17 16 13
Avg Max Decline -1.45% -2.02% -2.64% -3.85% -10.13% -3.25% -1.41% -6.53% -7.41% -2.75% 3.14%
Max Decline -4.31% -6.51% -6.85% -5.23% -10.13% -7.86% -2.74% -14.84% -7.41% -9.36% 1.27%
Avg Days to Max Decline 10 7 8 20 36 6 3 17 5 1 4
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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years 12 12 12 13 13 13 13 13 13 13 13
Closed Lower 3 3 5 5 7 6 7 5 7 10 9
Penetrated Low   3 4 4 5 5 5 5 5 9 9
Scenario Percentage 0% 100% 80% 80% 71% 83% 71% 100% 71% 90% 100%
Avg Max Decline   11.23% 13.94% 11.33% 8.13% 6.88% 6.57% 10.59% 19.13% 23.75% 21.83%
Max Decline   20.31% 26.74% 17.21% 19.37% 10.02% 12.87% 18.65% 27.37% 41.55% 36.16%
Avg Days To Max Decline   26 19 23 14 11 8 24 24 20 19
Avg Max Increase   -4.47% -2.30% -6.20% -2.44% -2.45% -3.41% -9.07% -3.46% -6.50% -8.26%
Max Increase   -11.49% -6.00% -13.78% -8.56% -6.22% -10.37% -27.12% -9.72% -16.00% -39.28%
Avg Days to Max Increase   14 8 12 14 9 6 17 3 10 8
2003 Contract Condition       Yes   Yes     Yes Yes  
Action       Yes   Yes     Yes Not Yet  
High 3.320 4.070 4.260 4.460 4.185 3.955 4.206 4.320 4.500 4.370 5.470
Low 2.890 3.250 3.645 3.890 3.745 3.550 3.515 3.865 3.980 3.830 4.120
Close/Last 3.251 3.899 4.247 3.890 3.911 3.642 3.974 4.293 4.171 4.145 4.789