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MRCI's ScenarioSM Study
ScenarioSM Study for March 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 11 12 13 13 13 13 13 13 13 13 13
Closed Higher 9 8 8 6 7 8 9 6 3 4 6
Exceeded High 9 7 5 2 6 7 6 1 3 4 6
Scenario Percentage 100% 88% 63% 33% 86% 88% 67% 17% 100% 100% 100%
Avg Max Increase 14.65% 11.23% 6.49% 8.13% 11.97% 10.54% 11.96% 46.56% 43.78% 42.86% 21.47%
Max Increase 49.20% 41.19% 14.22% 8.80% 17.85% 21.67% 23.36% 46.56% 57.64% 115.26% 80.20%
Avg Days To Max Increase 20 15 25 27 20 14 18 17 15 14 12
Avg Max Decline -2.27% -2.22% -3.18% -5.49% -2.69% -1.85% -5.55% -6.98% -3.71% -9.01% -4.76%
Max Decline -5.98% -6.93% -6.33% -8.94% -8.17% -3.48% -14.19% -6.98% -13.09% -15.72% -18.55%
Avg Days to Max Decline 8 12 15 19 4 6 14 5 10 7 2
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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years 11 12 13 13 13 13 13 13 13 13 13
Closed Lower 2 4 5 7 6 5 4 7 10 9 7
Penetrated Low 2 3 4 4 5 4 4 5 9 8 5
Scenario Percentage 100% 75% 80% 57% 83% 80% 100% 71% 90% 89% 71%
Avg Max Decline 10.11% 6.80% 7.22% 9.13% 6.09% 5.90% 9.38% 15.02% 18.23% 18.66% 22.69%
Max Decline 17.90% 12.62% 17.21% 17.79% 8.94% 12.12% 14.82% 21.62% 29.97% 32.29% 61.68%
Avg Days To Max Decline 27 16 17 16 11 7 29 19 21 21 21
Avg Max Increase -7.07% -3.19% -6.33% -3.41% -2.29% -3.75% -9.08% -2.57% -5.18% -5.50% -7.57%
Max Increase -12.76% -5.72% -13.60% -10.34% -5.56% -10.34% -23.13% -7.42% -13.34% -37.04% -22.13%
Avg Days to Max Increase 12 11 13 17 12 7 17 3 9 5 3
2003 Contract Condition     Yes   Yes     Yes Yes    
Action     Yes   Yes     Yes No    
High 3.910 4.090 4.280 4.100 3.875 4.121 4.180 4.320 4.240 5.180 5.750
Low 3.171 3.520 3.780 3.650 3.510 3.492 3.780 3.865 3.780 4.020 4.780
Close/Last 3.744 4.072 3.780 3.835 3.602 3.894 4.124 4.056 4.048 4.692 5.605