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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Natural Gas(NYM) as of Nov 30, 2009 |
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 |
17 |
18 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
| Closed Higher |
14 |
13 |
11 |
9 |
10 |
10 |
12 |
9 |
5 |
6 |
9 |
| Exceeded High |
14 |
11 |
8 |
5 |
9 |
9 |
9 |
3 |
4 |
6 |
8 |
| Scenario Percentage |
100% |
85% |
73% |
56% |
90% |
90% |
75% |
33% |
80% |
100% |
89% |
| Avg Max Increase |
13.24% |
12.08% |
6.89% |
15.77% |
16.45% |
12.17% |
12.23% |
21.02% |
38.98% |
23.79% |
10.92% |
| Max Increase |
49.20% |
41.19% |
14.43% |
45.89% |
59.17% |
24.29% |
23.36% |
46.56% |
57.64% |
42.80% |
22.10% |
| Avg Days To Max Increase |
19 |
14 |
17 |
18 |
20 |
12 |
15 |
16 |
14 |
14 |
12 |
| Avg Max Decline |
-2.40% |
-1.97% |
-1.57% |
-3.56% |
-3.30% |
-2.31% |
-4.51% |
-3.34% |
-3.15% |
-5.04% |
-4.92% |
| Max Decline |
-6.69% |
-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 |
8 |
10 |
11 |
8 |
7 |
12 |
4 |
8 |
6 |
2 |
| 2010 Contract Condition |
|
|
Yes |
|
|
|
Yes |
|
|
|
|
| Action |
|
|
Yes |
|
|
|
Yes |
|
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|
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 |
17 |
18 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
| Closed Lower |
3 |
5 |
8 |
10 |
9 |
9 |
7 |
10 |
14 |
13 |
10 |
| Penetrated Low |
3 |
4 |
6 |
6 |
8 |
8 |
6 |
8 |
12 |
12 |
8 |
| Scenario Percentage |
100% |
80% |
75% |
60% |
89% |
89% |
86% |
80% |
86% |
92% |
80% |
| Avg Max Decline |
7.37% |
5.90% |
7.85% |
9.67% |
9.04% |
10.85% |
10.72% |
14.44% |
18.78% |
18.46% |
26.38% |
| Max Decline |
17.90% |
12.62% |
17.21% |
17.79% |
23.20% |
29.22% |
20.59% |
25.09% |
33.41% |
38.59% |
61.68% |
| Avg Days To Max Decline |
19 |
16 |
18 |
20 |
15 |
13 |
26 |
19 |
20 |
17 |
13 |
| Avg Max Increase |
-5.03% |
-2.67% |
-6.36% |
-3.34% |
-3.34% |
-2.85% |
-9.20% |
-5.93% |
-4.49% |
-4.25% |
-7.63% |
| 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 |
12 |
16 |
12 |
9 |
13 |
8 |
8 |
5 |
3 |
| 2010 Contract Condition |
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
| Action |
Yes |
No |
|
Yes |
Yes |
Yes |
|
Yes |
Not Yet |
|
|
| High |
6.176 |
5.950 |
6.398 |
6.410 |
5.873 |
6.106 |
5.999 |
6.242 |
5.477 |
|
|
| Low |
5.481 |
5.470 |
5.545 |
5.777 |
5.230 |
5.171 |
4.733 |
5.339 |
4.696 |
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| Close/Last |
5.756 |
5.539 |
5.896 |
5.810 |
5.631 |
5.198 |
5.937 |
5.425 |
4.989 |
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