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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 |
|
|
|
|
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 |
|
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|
| 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 |
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