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MRCI's ScenarioSM Study
ScenarioSM Study for April Natural Gas(NYM) as of Dec 31, 2005
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 13 15 15 15 15 15 15 15 15 15 15
Closed Higher 8 10 7 8 9 10 5 4 5 7 10
Exceeded High 6 7 3 7 7 8 1 4 5 7 8
Scenario Percentage 75% 70% 43% 88% 78% 80% 20% 100% 100% 100% 80%
Avg Max Increase 13.68% 5.43% 6.12% 9.32% 8.50% 8.55% 32.21% 29.33% 31.10% 25.19% 17.09%
Max Increase 40.87% 12.56% 10.32% 12.85% 22.81% 16.70% 32.21% 36.90% 88.30% 59.03% 51.04%
Avg Days To Max Increase 11 20 17 21 15 17 17 22 20 18 20
Avg Max Decline -1.29% -2.18% -1.86% -2.72% -2.53% -4.31% -5.63% -2.35% -3.42% -3.66% -3.70%
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 11 6 15 5 12 5 3 6 5 4
2006 Contract Condition     Yes Yes Yes Yes          
Action     Yes Yes Yes No          
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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 13 15 15 15 15 15 15 15 15 15 15
Closed Lower 4 5 8 7 6 5 10 11 10 8 5
Penetrated Low 2 2 4 4 5 5 8 9 9 7 3
Scenario Percentage 50% 40% 50% 57% 83% 100% 80% 82% 90% 88% 60%
Avg Max Decline 4.22% 9.57% 7.22% 5.79% 4.83% 7.59% 11.16% 14.60% 12.68% 7.12% 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 21 10 8 27 22 18 16 20 7
Avg Max Increase -2.79% -11.61% -4.67% -1.97% -2.97% -7.35% -1.75% -3.99% -3.15% -7.55% -7.21%
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 17 2 8 17 3 8 5 7 13
2006 Contract Condition Yes Yes         Yes Yes Yes Yes  
Action Yes No         Yes Not Yet Not Yet    
High 7.480 6.960 7.800 8.060 9.950 11.500 11.180 10.700 11.650 10.330  
Low 6.900 6.770 6.910 7.610 8.070 9.420 10.370 9.600 9.950 10.160  
Close/Last 6.912 6.908 7.678 8.006 9.587 11.091 10.466 10.431 10.359 10.160