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MRCI's ScenarioSM Study
ScenarioSM Study for August Natural Gas(NYM) as of Apr 30, 2005
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 14 14 14 14 14 14 14 14 14 15 15
Closed Higher 9 9 4 3 4 7 11 10 9 8 6
Exceeded High 7 6 2 3 4 7 10 10 8 5 1
Scenario Percentage 78% 67% 50% 100% 100% 100% 91% 100% 89% 63% 17%
Avg Max Increase 8.45% 6.53% 8.12% 12.54% 19.00% 14.60% 17.84% 19.47% 18.65% 13.49% 7.77%
Max Increase 23.34% 15.36% 13.57% 26.45% 39.26% 27.60% 48.98% 52.12% 47.41% 23.43% 7.77%
Avg Days To Max Increase 19 18 11 19 17 26 17 18 13 21 23
Avg Max Decline -2.25% -4.66% -1.37% -3.08% -0.52% -2.76% -2.54% -3.36% -4.15% -6.97% -12.28%
Max Decline -4.89% -13.01% -2.65% -4.16% -4.20% -4.76% -6.53% -6.27% -11.03% -12.50% -12.28%
Avg Days to Max Decline 8 7 3 16 4 14 9 12 8 16 12
2005 Contract Condition   Yes Yes     Yes Yes Yes   Yes  
Action   Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 14 14 14 14 14 14 14 14 14 15 15
Closed Lower 5 5 10 11 10 7 3 4 5 7 9
Penetrated Low 5 5 7 9 7 4 1 4 4 7 7
Scenario Percentage 100% 100% 70% 82% 70% 57% 33% 100% 80% 100% 78%
Avg Max Decline 4.24% 4.66% 9.05% 9.41% 8.62% 5.38% 1.04% 12.37% 22.37% 15.66% 22.84%
Max Decline 9.94% 8.58% 14.41% 18.52% 14.30% 7.79% 1.04% 27.18% 36.75% 27.07% 42.16%
Avg Days To Max Decline 11 23 22 15 20 16 3 20 23 19 19
Avg Max Increase -2.41% -3.38% -1.17% -2.62% -2.40% -4.53% 0.00% -4.21% -5.16% -8.83% -4.33%
Max Increase -6.55% -5.04% -2.03% -7.11% -11.65% -11.28% 0.00% -11.46% -10.17% -14.97% -11.11%
Avg Days to Max Increase 15 16 6 7 6 16 3 9 13 11 8
2005 Contract Condition Yes     Yes Yes       Yes    
Action Yes     Yes Yes       Yes    
High 6.200 6.520 7.390 7.270 6.835 6.600 6.980 7.950 8.070 6.890  
Low 5.959 5.890 6.300 6.520 6.190 5.890 6.240 6.820 6.740 6.715  
Close/Last 5.959 6.475 7.168 6.770 6.205 6.507 6.955 7.893 6.764 6.869