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MRCI's ScenarioSM Study
ScenarioSM Study for July Natural Gas(NYM) as of Feb 28, 2007
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 15 16 16 16 16 16 16 16 16 16 17
Closed Higher 9 10 9 4 4 6 8 11 12 9 8
Exceeded High 8 8 6 2 4 5 8 9 12 8 5
Scenario Percentage 89% 80% 67% 50% 100% 83% 100% 82% 100% 89% 63%
Avg Max Increase 15.34% 9.32% 8.13% 8.18% 12.08% 18.95% 16.15% 21.16% 18.05% 17.26% 6.30%
Max Increase 39.15% 22.45% 15.07% 13.68% 26.86% 40.28% 27.83% 51.42% 53.57% 45.35% 12.22%
Avg Days To Max Increase 22 18 20 10 13 18 27 17 17 11 11
Avg Max Decline -2.14% -2.21% -4.40% -1.45% -4.23% -0.88% -3.19% -2.57% -4.04% -4.81% -3.62%
Max Decline -6.37% -4.34% -12.87% -2.81% -11.21% -5.20% -6.30% -7.01% -6.75% -14.73% -12.76%
Avg Days to Max Decline 13 8 7 3 16 5 10 8 11 8 2
2007 Contract Condition Yes     Yes Yes   Yes        
Action 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 15 16 16 16 16 16 16 16 16 16 17
Closed Lower 6 6 5 11 12 10 8 4 4 7 9
Penetrated Low 5 6 5 7 9 8 5 1 4 6 9
Scenario Percentage 83% 100% 100% 64% 75% 80% 63% 25% 100% 86% 100%
Avg Max Decline 4.87% 3.81% 4.96% 9.95% 11.23% 9.03% 10.12% 6.43% 13.70% 15.50% 19.41%
Max Decline 7.93% 9.80% 8.57% 14.72% 19.56% 15.02% 26.72% 6.43% 28.35% 28.86% 41.75%
Avg Days To Max Decline 20 13 23 20 15 18 19 28 20 18 17
Avg Max Increase -1.79% -2.55% -3.40% -0.93% -4.25% -1.63% -4.78% -20.94% -4.64% -4.17% -8.85%
Max Increase -3.24% -6.49% -4.97% -2.09% -16.99% -12.14% -11.88% -20.94% -11.28% -10.19% -22.28%
Avg Days to Max Increase 5 15 16 4 9 5 7 50 7 8 10
2007 Contract Condition   Yes Yes     Yes   Yes      
Action   Yes No     No   Not Yet      
High 8.846 8.875 8.530 8.083 8.426 8.207 7.849 8.110      
Low 8.127 8.290 7.170 7.360 7.600 6.680 6.700 7.520      
Close/Last 8.846 8.388 7.388 7.619 8.426 6.928 7.841 7.614