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MRCI's ScenarioSM Study
ScenarioSM Study for April Natural Gas(NYM) as of Apr 17, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 11 13 13 13 13 13 13 13 13 13 13
Closed Higher 7 8 7 7 8 8 4 4 4 6 8
Exceeded High 5 5 3 6 7 6 1 4 4 6 6
Scenario Percentage 71% 63% 43% 86% 88% 75% 25% 100% 100% 100% 75%
Avg Max Increase 13.95% 6.34% 6.12% 9.42% 8.50% 7.54% 32.21% 29.33% 35.69% 26.16% 19.62%
Max Increase 40.87% 12.56% 10.32% 12.85% 22.81% 15.14% 32.21% 36.90% 88.30% 59.03% 51.04%
Avg Days To Max Increase 12 21 17 19 15 17 17 22 23 16 19
Avg Max Decline -1.24% -2.37% -1.86% -2.24% -2.53% -4.98% -5.63% -2.35% -5.14% -3.23% -3.83%
Max Decline -3.57% -4.92% -3.92% -7.28% -6.23% -13.58% -5.63% -5.51% -10.03% -9.15% -10.23%
Avg Days to Max Decline 3 14 6 10 5 15 5 3 6 3 5
2003 Contract Condition Yes   Yes   Yes Yes   Yes Yes Yes Yes
Action Yes   No   Yes Yes   Yes Yes Yes Not Yet
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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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 11 13 13 13 13 13 13 13 13 13 13
Closed Lower 4 5 6 6 5 5 9 9 9 7 5
Penetrated Low 2 2 3 4 4 5 7 8 8 6 3
Scenario Percentage 50% 40% 50% 67% 80% 100% 78% 89% 89% 86% 60%
Avg Max Decline 4.22% 9.57% 7.09% 5.79% 5.44% 7.59% 12.17% 14.39% 13.53% 8.04% 36.86%
Max Decline 5.13% 14.17% 14.07% 8.44% 11.15% 10.63% 18.45% 25.34% 19.96% 17.25% 59.70%
Avg Days To Max Decline 23 21 20 10 7 27 22 20 18 19 7
Avg Max Increase -2.79% -11.61% -5.38% -1.97% -2.80% -7.35% -1.74% -4.43% -4.05% -7.51% -5.42%
Max Increase -5.58% -12.86% -13.78% -4.62% -7.55% -21.08% -4.78% -11.45% -23.19% -15.47% -12.03%
Avg Days to Max Increase 12 18 19 2 7 17 2 9 6 7 5
2003 Contract Condition   Yes   Yes     Yes        
Action   Yes   Yes     Yes        
High 3.850 4.065 3.995 3.780 3.976 4.000 4.100 4.025 4.640 5.350 8.500
Low 3.290 3.620 3.525 3.440 3.430 3.690 3.738 3.720 3.895 4.650 5.265
Close/Last 3.842 3.620 3.728 3.518 3.781 3.935 3.898 3.908 4.514 5.345 8.101