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MRCI's ScenarioSM Study
ScenarioSM Study for June Natural Gas(NYM) as of May 29, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 12 13 13 13 13 13 13 13 13 13 13
Closed Higher 6 8 8 7 2 3 4 6 8 9 7
Exceeded High 1 7 7 5 1 3 4 6 6 9 5
Scenario Percentage 17% 88% 88% 71% 50% 100% 100% 100% 75% 100% 71%
Avg Max Increase 3.88% 11.81% 7.91% 7.01% 16.75% 15.36% 23.96% 18.01% 27.76% 21.30% 20.42%
Max Increase 3.88% 32.43% 22.49% 14.20% 16.75% 26.34% 48.34% 34.11% 54.16% 52.28% 43.27%
Avg Days To Max Increase 5 21 17 20 17 15 19 23 18 17 16
Avg Max Decline -1.46% -1.91% -2.27% -4.72% -2.96% -4.72% -2.64% -2.76% -3.10% -3.86% -3.61%
Max Decline -1.46% -6.78% -4.34% -13.06% -2.96% -10.51% -5.56% -6.29% -8.24% -6.93% -8.56%
Avg Days to Max Decline 2 8 8 9 5 29 5 10 7 5 3
2003 Contract Condition Yes   Yes Yes     Yes Yes Yes   Yes
Action No   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 12 13 13 13 13 13 13 13 13 13 13
Closed Lower 6 5 5 6 11 10 9 7 5 4 6
Penetrated Low 4 4 4 6 8 8 8 6 3 4 6
Scenario Percentage 67% 80% 80% 100% 73% 80% 89% 86% 60% 100% 100%
Avg Max Decline 6.49% 5.40% 4.93% 6.12% 11.10% 11.83% 9.75% 5.50% 3.88% 11.22% 18.74%
Max Decline 12.48% 8.08% 9.95% 9.00% 15.87% 20.85% 15.95% 9.43% 5.23% 22.12% 52.18%
Avg Days To Max Decline 11 16 14 25 20 19 17 12 19 17 8
Avg Max Increase -3.13% -1.79% -2.49% -5.60% -1.32% -3.15% -2.84% -4.18% -1.42% -5.10% -2.35%
Max Increase -12.48% -3.50% -7.18% -19.06% -2.68% -8.25% -15.44% -11.97% -4.05% -11.59% -6.56%
Avg Days to Max Increase 17 4 11 19 5 8 9 6 28 7 7
2003 Contract Condition   Yes     Yes Yes       Yes  
Action   Yes     No No       Yes  
High 4.000 3.800 3.984 3.990 4.050 3.980 4.507 5.010 6.570 6.053 5.910
Low 3.510 3.480 3.461 3.714 3.700 3.733 3.860 4.540 4.850 5.040 4.950
Close/Last 3.741 3.536 3.802 3.913 3.871 3.868 4.429 4.899 5.761 5.100 5.385