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| MRCI's ScenarioSM Study |
| ScenarioSM Study for April Natural Gas(NYM) as of Dec 31, 2009 |
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 |
17 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
| Closed Higher |
11 |
12 |
10 |
11 |
10 |
12 |
7 |
5 |
6 |
9 |
11 |
| Exceeded High |
8 |
9 |
6 |
9 |
8 |
9 |
3 |
4 |
6 |
9 |
9 |
| Scenario Percentage |
73% |
75% |
60% |
82% |
80% |
75% |
43% |
80% |
100% |
100% |
82% |
| Avg Max Increase |
13.36% |
6.15% |
9.82% |
12.55% |
10.06% |
8.66% |
15.55% |
29.33% |
30.23% |
23.16% |
16.19% |
| Max Increase |
40.87% |
14.45% |
30.16% |
44.89% |
22.81% |
16.70% |
32.21% |
36.90% |
88.30% |
59.03% |
51.04% |
| Avg Days To Max Increase |
13 |
17 |
14 |
19 |
16 |
16 |
16 |
22 |
21 |
16 |
19 |
| Avg Max Decline |
-1.45% |
-1.71% |
-1.71% |
-2.44% |
-2.44% |
-4.15% |
-2.48% |
-2.35% |
-2.86% |
-3.88% |
-3.51% |
| 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 |
2 |
10 |
9 |
12 |
4 |
13 |
4 |
3 |
8 |
4 |
4 |
| 2010 Contract Condition |
|
Yes |
|
|
|
Yes |
|
|
Yes |
|
|
| Action |
|
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 |
17 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
19 |
| Closed Lower |
5 |
7 |
9 |
8 |
9 |
7 |
12 |
14 |
13 |
10 |
8 |
| Penetrated Low |
3 |
2 |
5 |
5 |
8 |
6 |
10 |
12 |
11 |
9 |
6 |
| Scenario Percentage |
60% |
29% |
56% |
63% |
89% |
86% |
83% |
86% |
85% |
90% |
75% |
| Avg Max Decline |
3.50% |
9.57% |
7.52% |
8.44% |
8.15% |
9.51% |
12.06% |
15.61% |
16.56% |
11.26% |
26.37% |
| Max Decline |
5.13% |
14.17% |
14.07% |
19.01% |
23.69% |
19.10% |
23.08% |
32.14% |
36.48% |
31.64% |
59.70% |
| Avg Days To Max Decline |
19 |
21 |
22 |
14 |
12 |
27 |
20 |
18 |
18 |
19 |
9 |
| Avg Max Increase |
-2.09% |
-11.61% |
-4.52% |
-2.14% |
-2.32% |
-6.81% |
-2.08% |
-4.15% |
-3.70% |
-7.50% |
-7.40% |
| Max Increase |
-5.58% |
-12.86% |
-13.78% |
-4.62% |
-7.55% |
-21.08% |
-6.65% |
-11.97% |
-23.19% |
-15.47% |
-12.03% |
| Avg Days to Max Increase |
8 |
18 |
19 |
2 |
8 |
14 |
3 |
7 |
5 |
7 |
18 |
| 2010 Contract Condition |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
| Action |
No |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
|
| High |
5.755 |
6.192 |
6.255 |
5.755 |
5.886 |
5.950 |
6.180 |
5.450 |
5.940 |
|
|
| Low |
5.333 |
5.414 |
5.662 |
5.170 |
5.180 |
4.775 |
5.336 |
4.738 |
4.595 |
|
|
| Close/Last |
5.394 |
5.766 |
5.700 |
5.566 |
5.198 |
5.909 |
5.417 |
5.029 |
5.505 |
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