|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for February 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 |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| Tested Years |
15 |
15 |
15 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
| Closed Higher |
12 |
11 |
9 |
9 |
6 |
9 |
8 |
10 |
7 |
4 |
5 |
| Exceeded High |
10 |
11 |
9 |
6 |
2 |
8 |
7 |
8 |
1 |
4 |
3 |
| Scenario Percentage |
83% |
100% |
100% |
67% |
33% |
89% |
88% |
80% |
14% |
100% |
60% |
| Avg Max Increase |
12.92% |
13.44% |
12.10% |
6.47% |
27.11% |
20.44% |
19.71% |
16.37% |
63.61% |
43.03% |
20.24% |
| Max Increase |
31.04% |
47.84% |
40.31% |
13.99% |
46.67% |
62.28% |
27.84% |
34.35% |
63.61% |
61.54% |
22.15% |
| Avg Days To Max Increase |
15 |
18 |
14 |
23 |
28 |
23 |
16 |
21 |
17 |
15 |
11 |
| Avg Max Decline |
-1.41% |
-1.99% |
-2.30% |
-3.09% |
-4.96% |
-3.53% |
-2.06% |
-5.25% |
-7.41% |
-2.45% |
3.87% |
| Max Decline |
-4.31% |
-6.51% |
-6.85% |
-5.23% |
-10.13% |
-9.57% |
-5.91% |
-14.84% |
-7.41% |
-9.36% |
1.27% |
| Avg Days to Max Decline |
8 |
8 |
7 |
17 |
18 |
11 |
6 |
13 |
5 |
1 |
4 |
| 2007 Contract Condition |
|
Yes |
Yes |
|
Yes |
Yes |
|
|
Yes |
|
|
| Action |
|
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 |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
| Tested Years |
15 |
15 |
15 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
| Closed Lower |
3 |
4 |
6 |
6 |
9 |
7 |
8 |
6 |
9 |
12 |
11 |
| Penetrated Low |
|
4 |
5 |
4 |
6 |
6 |
6 |
6 |
7 |
10 |
11 |
| Scenario Percentage |
0% |
100% |
83% |
67% |
67% |
86% |
75% |
100% |
78% |
83% |
100% |
| Avg Max Decline |
|
9.01% |
11.75% |
11.33% |
8.56% |
6.60% |
6.41% |
9.92% |
16.32% |
23.97% |
24.37% |
| Max Decline |
|
20.31% |
26.74% |
17.21% |
19.37% |
10.02% |
12.87% |
18.65% |
27.37% |
41.55% |
50.56% |
| Avg Days To Max Decline |
|
20 |
19 |
23 |
16 |
14 |
9 |
22 |
23 |
19 |
19 |
| Avg Max Increase |
|
-3.58% |
-2.12% |
-6.20% |
-2.49% |
-3.52% |
-3.64% |
-10.56% |
-6.34% |
-6.02% |
-7.36% |
| Max Increase |
|
-11.49% |
-6.00% |
-13.78% |
-8.56% |
-8.87% |
-10.37% |
-27.12% |
-25.13% |
-16.00% |
-39.28% |
| Avg Days to Max Increase |
|
11 |
7 |
12 |
13 |
11 |
7 |
16 |
9 |
9 |
8 |
| 2007 Contract Condition |
Yes |
|
|
Yes |
|
|
Yes |
Yes |
|
|
|
| Action |
No |
|
|
Yes |
|
|
Yes |
Not Yet |
|
|
|
| High |
12.150 |
11.230 |
12.500 |
11.650 |
11.170 |
11.701 |
11.850 |
10.760 |
8.080 |
|
|
| Low |
10.060 |
10.280 |
10.800 |
9.900 |
10.030 |
9.870 |
10.580 |
7.550 |
7.930 |
|
|
| Close/Last |
10.435 |
10.710 |
11.365 |
10.096 |
10.459 |
11.701 |
10.663 |
7.878 |
7.973 |
|
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