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MRCI's ScenarioSM Study
ScenarioSM Study for June Natural Gas(NYM) as of Jun 09, 2004
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 13 14 14 14 14 14 14 14 14 14 14
Closed Higher 6 8 9 7 2 3 5 6 9 10 7
Exceeded High 1 7 7 5 1 3 5 6 7 10 5
Scenario Percentage 17% 88% 78% 71% 50% 100% 100% 100% 78% 100% 71%
Avg Max Increase 3.88% 11.81% 7.91% 7.01% 16.75% 15.36% 20.92% 18.01% 25.42% 20.47% 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 17 23 17 18 16
Avg Max Decline -1.46% -1.91% -2.27% -4.72% -2.96% -4.72% -1.45% -2.76% -3.01% -4.16% -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 6 6 3
2004 Contract Condition     Yes       Yes   Yes Yes  
Action     No       Yes   Yes 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 13 14 14 14 14 14 14 14 14 14 14
Closed Lower 7 6 5 7 12 11 9 8 5 4 7
Penetrated Low 5 4 4 7 9 8 8 6 3 4 7
Scenario Percentage 71% 67% 80% 100% 75% 73% 89% 75% 60% 100% 100%
Avg Max Decline 6.56% 5.40% 4.93% 5.79% 10.22% 11.83% 9.75% 5.50% 3.88% 11.22% 21.52%
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 14 16 14 24 20 19 17 12 19 17 11
Avg Max Increase -3.07% -1.79% -2.49% -5.54% -1.31% -3.15% -2.84% -4.18% -1.42% -5.10% -4.20%
Max Increase -12.48% -3.50% -7.18% -19.06% -2.68% -8.25% -15.44% -11.97% -4.05% -11.59% -15.32%
Avg Days to Max Increase 15 4 11 18 6 8 9 6 28 7 9
2004 Contract Condition Yes Yes   Yes Yes Yes   Yes     Yes
Action Yes No   Yes Yes No   No     Yes
High 5.250 5.010 5.010 4.835 4.964 4.750 5.320 5.560 5.520 6.000 6.110
Low 4.842 4.540 4.583 4.598 4.560 4.540 4.620 5.000 5.030 5.350 5.570
Close/Last 4.873 4.613 4.724 4.719 4.689 4.590 5.112 5.038 5.486 5.983 5.862