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MRCI's ScenarioSM Study
ScenarioSM Study for July Natural Gas(NYM) as of Mar 31, 2006
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 14 15 15 15 15 15 15 15 15 15 16
Closed Higher 8 9 8 4 3 5 8 11 11 9 8
Exceeded High 7 7 6 2 3 5 8 9 11 8 5
Scenario Percentage 88% 78% 75% 50% 100% 100% 100% 82% 100% 89% 63%
Avg Max Increase 11.94% 8.01% 8.13% 8.18% 13.41% 18.95% 16.15% 21.16% 18.35% 17.76% 6.88%
Max Increase 31.96% 22.45% 15.07% 13.68% 26.86% 40.28% 27.83% 51.42% 53.57% 49.30% 12.22%
Avg Days To Max Increase 21 17 20 10 15 18 27 17 17 12 12
Avg Max Decline -2.57% -2.27% -4.40% -1.45% -5.32% -0.88% -3.19% -2.57% -3.79% -4.81% -3.62%
Max Decline -6.37% -4.34% -12.87% -2.81% -11.21% -5.20% -6.30% -7.01% -6.67% -14.73% -12.76%
Avg Days to Max Decline 15 8 7 3 21 5 10 8 11 8 2
2006 Contract Condition Yes Yes Yes   Yes Yes     Yes    
Action Yes Yes No   Yes No     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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 14 15 15 15 15 15 15 15 15 15 16
Closed Lower 6 6 5 10 12 10 7 3 4 6 8
Penetrated Low 5 6 5 6 9 8 4   4 5 8
Scenario Percentage 83% 100% 100% 60% 75% 80% 57% 0% 100% 83% 100%
Avg Max Decline 4.87% 3.81% 4.96% 10.31% 11.23% 9.03% 5.97%   13.70% 17.14% 20.70%
Max Decline 7.93% 9.80% 8.57% 14.72% 19.56% 15.02% 8.85%   28.35% 34.31% 41.75%
Avg Days To Max Decline 20 13 23 22 15 18 22   20 21 18
Avg Max Increase -1.79% -2.55% -3.40% -1.24% -4.25% -1.63% -4.71%   -4.64% -3.47% -8.20%
Max Increase -3.24% -6.49% -4.97% -2.09% -16.99% -12.14% -11.88%   -11.28% -10.19% -22.28%
Avg Days to Max Increase 5 15 16 4 9 5 9   7 8 9
2006 Contract Condition       Yes     Yes Yes      
Action       Yes     Yes Yes      
High 8.020 9.600 11.050 10.879 10.543 11.213 10.300 10.150 7.970    
Low 7.610 8.010 9.160 10.000 9.500 9.970 8.550 7.130 7.080    
Close/Last 7.941 9.327 10.603 10.304 10.371 10.379 9.661 7.235 7.625