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| MRCI's ScenarioSM Study |
| ScenarioSM Study for April 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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
14 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
| Closed Higher |
8 |
10 |
8 |
9 |
10 |
11 |
5 |
4 |
5 |
7 |
10 |
| Exceeded High |
6 |
7 |
4 |
8 |
8 |
8 |
1 |
4 |
5 |
7 |
8 |
| Scenario Percentage |
75% |
70% |
50% |
89% |
80% |
73% |
20% |
100% |
100% |
100% |
80% |
| Avg Max Increase |
13.68% |
5.43% |
11.98% |
13.61% |
9.93% |
8.55% |
32.21% |
29.33% |
31.10% |
24.94% |
16.88% |
| Max Increase |
40.87% |
12.56% |
29.59% |
43.64% |
22.81% |
16.70% |
32.21% |
36.90% |
88.30% |
59.03% |
51.04% |
| Avg Days To Max Increase |
11 |
20 |
20 |
22 |
16 |
17 |
17 |
22 |
20 |
18 |
20 |
| Avg Max Decline |
-1.29% |
-2.18% |
-1.61% |
-2.28% |
-2.43% |
-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 |
10 |
13 |
5 |
12 |
5 |
3 |
6 |
5 |
4 |
| 2007 Contract Condition |
Yes |
|
Yes |
Yes |
|
|
Yes |
Yes |
|
|
|
| Action |
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 |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
14 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
| Closed Lower |
5 |
6 |
8 |
7 |
6 |
5 |
11 |
12 |
11 |
9 |
6 |
| Penetrated Low |
3 |
2 |
4 |
4 |
5 |
5 |
9 |
10 |
10 |
8 |
4 |
| Scenario Percentage |
60% |
33% |
50% |
57% |
83% |
100% |
82% |
83% |
91% |
89% |
67% |
| Avg Max Decline |
3.50% |
9.57% |
7.22% |
5.79% |
4.83% |
7.59% |
10.84% |
15.28% |
15.06% |
10.19% |
33.36% |
| Max Decline |
5.13% |
14.17% |
14.07% |
8.44% |
11.15% |
10.63% |
18.45% |
25.34% |
36.48% |
31.64% |
59.70% |
| Avg Days To Max Decline |
19 |
21 |
21 |
10 |
8 |
27 |
20 |
19 |
18 |
18 |
6 |
| Avg Max Increase |
-2.09% |
-11.61% |
-4.67% |
-1.97% |
-2.97% |
-7.35% |
-1.47% |
-4.76% |
-2.81% |
-7.23% |
-7.91% |
| Max Increase |
-5.58% |
-12.86% |
-13.78% |
-4.62% |
-7.55% |
-21.08% |
-4.78% |
-11.69% |
-23.19% |
-15.47% |
-12.03% |
| Avg Days to Max Increase |
8 |
18 |
17 |
2 |
8 |
17 |
3 |
8 |
5 |
7 |
15 |
| 2007 Contract Condition |
|
Yes |
|
|
Yes |
Yes |
|
|
|
|
|
| Action |
|
No |
|
|
Yes |
No |
|
|
|
|
|
| High |
10.050 |
9.530 |
8.750 |
8.851 |
8.980 |
8.510 |
7.980 |
8.340 |
|
|
|
| Low |
9.000 |
8.000 |
8.068 |
8.109 |
8.230 |
6.980 |
7.180 |
7.440 |
|
|
|
| Close/Last |
9.388 |
8.166 |
8.374 |
8.851 |
8.343 |
7.223 |
7.458 |
8.309 |
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