MRCI's ScenarioSM Study

ScenarioSM Study for May 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	13	15	15	15	15	15	15	15	15	15	15
Closed Higher	8	7	9	9	9	5	4	5	7	11	12
Exceeded High	6	3	8	6	7	1	4	5	7	9	11
Scenario Percentage	75%	43%	89%	67%	78%	20%	100%	100%	100%	82%	92%
Avg Max Increase	5.25%	6.89%	11.59%	8.71%	7.63%	22.06%	22.03%	23.13%	19.82%	22.22%	10.61%
Max Increase	10.64%	8.87%	33.28%	23.54%	14.50%	22.06%	31.67%	54.48%	36.11%	54.87%	35.33%
Avg Days To Max Increase	24	18	22	18	19	17	20	17	23	11	14
Avg Max Decline	-2.25%	-3.21%	-2.28%	-1.89%	-4.42%	-3.62%	-2.10%	-1.89%	-3.98%	-3.51%	-3.10%
Max Decline	-4.89%	-7.32%	-6.85%	-5.03%	-13.36%	-3.62%	-4.42%	-6.21%	-7.50%	-8.72%	-7.52%
Avg Days to Max Decline	12	15	13	4	11	5	4	5	11	7	3
2006 Contract Condition	Yes	Yes	Yes	Yes	Yes		Yes
Action	Yes	Yes	Yes	Yes	No		Yes

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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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	13	15	15	15	15	15	15	15	15	15	15
Closed Lower	5	8	6	6	5	10	11	10	8	4	3
Penetrated Low	3	5	4	5	5	7	9	9	5	2	3
Scenario Percentage	60%	63%	67%	83%	100%	70%	82%	90%	63%	50%	100%
Avg Max Decline	6.07%	6.67%	5.40%	4.47%	5.64%	11.49%	13.02%	10.49%	6.93%	4.45%	35.67%
Max Decline	12.45%	12.50%	8.21%	10.08%	9.47%	16.84%	22.83%	17.49%	10.54%	6.24%	57.41%
Avg Days To Max Decline	22	18	16	13	27	23	19	15	16	17	1
Avg Max Increase	-8.60%	-3.08%	-1.87%	-2.53%	-6.92%	-1.60%	-3.31%	-2.18%	-5.92%	-6.56%	-11.11%
Max Increase	-13.25%	-12.65%	-3.75%	-6.61%	-20.13%	-3.01%	-9.12%	-16.97%	-13.73%	-11.73%	-15.22%
Avg Days to Max Increase	15	15	4	12	21	7	9	7	4	13	15
2006 Contract Condition						Yes		Yes	Yes
Action						Yes		Not Yet
High	6.831	7.660	7.930	9.600	10.980	10.829	10.473	11.250	10.230
Low	6.650	6.790	7.490	7.930	9.100	10.000	9.420	9.850	10.120
Close/Last	6.791	7.548	7.856	9.257	10.561	10.226	10.291	10.289	10.120