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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Natural Gas(NYM) as of Nov 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 |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
| Tested Years |
14 |
15 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
| Closed Higher |
11 |
10 |
10 |
7 |
9 |
10 |
11 |
7 |
4 |
5 |
7 |
| Exceeded High |
11 |
9 |
7 |
3 |
8 |
9 |
8 |
1 |
4 |
5 |
6 |
| Scenario Percentage |
100% |
90% |
70% |
43% |
89% |
90% |
73% |
14% |
100% |
100% |
86% |
| Avg Max Increase |
13.35% |
12.14% |
5.81% |
20.52% |
18.05% |
12.17% |
12.40% |
46.56% |
38.98% |
38.47% |
21.47% |
| Max Increase |
49.20% |
41.19% |
14.22% |
45.31% |
58.63% |
24.29% |
23.36% |
46.56% |
57.64% |
115.26% |
80.20% |
| Avg Days To Max Increase |
18 |
12 |
19 |
28 |
22 |
12 |
17 |
17 |
14 |
13 |
12 |
| Avg Max Decline |
-2.15% |
-1.88% |
-2.04% |
-3.61% |
-2.99% |
-2.24% |
-4.54% |
-6.98% |
-3.15% |
-6.06% |
-4.76% |
| Max Decline |
-5.98% |
-6.93% |
-6.33% |
-8.94% |
-8.69% |
-5.93% |
-14.19% |
-6.98% |
-13.09% |
-15.72% |
-18.55% |
| Avg Days to Max Decline |
8 |
10 |
11 |
13 |
9 |
7 |
11 |
5 |
8 |
6 |
2 |
| 2007 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
|
|
| Action |
Yes |
No |
|
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 |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
| Tested Years |
14 |
15 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
| Closed Lower |
3 |
5 |
6 |
9 |
7 |
6 |
5 |
9 |
12 |
11 |
9 |
| Penetrated Low |
3 |
4 |
4 |
5 |
6 |
5 |
5 |
7 |
10 |
10 |
7 |
| Scenario Percentage |
100% |
80% |
67% |
56% |
86% |
83% |
100% |
78% |
83% |
91% |
78% |
| Avg Max Decline |
7.37% |
5.90% |
7.22% |
9.15% |
6.01% |
5.70% |
8.75% |
12.91% |
18.77% |
19.54% |
29.04% |
| Max Decline |
17.90% |
12.62% |
17.21% |
17.79% |
8.94% |
12.12% |
14.82% |
21.62% |
29.97% |
39.26% |
61.68% |
| Avg Days To Max Decline |
19 |
16 |
17 |
18 |
14 |
8 |
25 |
19 |
19 |
19 |
16 |
| Avg Max Increase |
-5.03% |
-2.67% |
-6.33% |
-3.38% |
-3.27% |
-3.97% |
-10.14% |
-5.77% |
-4.81% |
-3.76% |
-7.22% |
| Max Increase |
-12.76% |
-5.72% |
-13.60% |
-10.34% |
-8.18% |
-10.34% |
-23.13% |
-26.05% |
-13.34% |
-37.04% |
-22.13% |
| Avg Days to Max Increase |
8 |
9 |
13 |
15 |
14 |
8 |
16 |
9 |
8 |
5 |
3 |
| 2007 Contract Condition |
|
|
Yes |
|
|
Yes |
Yes |
|
|
|
|
| Action |
|
|
Yes |
|
|
Yes |
No |
|
|
|
|
| High |
11.030 |
12.290 |
11.440 |
10.960 |
11.461 |
11.800 |
10.600 |
8.630 |
8.825 |
|
|
| Low |
10.060 |
10.650 |
9.750 |
9.860 |
9.680 |
10.420 |
7.445 |
7.610 |
7.800 |
|
|
| Close/Last |
10.525 |
11.168 |
9.916 |
10.264 |
11.461 |
10.483 |
7.733 |
7.938 |
8.744 |
|
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