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MRCI's ScenarioSM Study
ScenarioSM Study for June Natural Gas(NYM) as of Feb 28, 2005
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
2005 Contract Condition   Yes   Yes Yes     Yes Yes    
Action   Yes   Yes No     Yes Not Yet    
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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
2005 Contract Condition Yes   Yes     Yes Yes        
Action No   Yes     Yes Yes        
High 6.014 6.110 6.160 6.600 7.350 7.180 6.790 6.530 6.890    
Low 5.740 5.810 5.910 5.800 6.300 6.470 6.130 5.800 6.110    
Close/Last 5.836 6.100 5.910 6.436 7.115 6.715 6.130 6.424 6.870