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MRCI's ScenarioSM Study
ScenarioSM Study for September Natural Gas(NYM) as of Aug 31, 2004
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 14 14 14 14 14 14 14 14 15 15 15
Closed Higher 8 4 3 5 7 11 10 9 8 6 6
Exceeded High 5 2 3 5 7 10 10 8 5 4 6
Scenario Percentage 63% 50% 100% 100% 100% 91% 100% 89% 63% 67% 100%
Avg Max Increase 4.78% 7.70% 11.59% 16.39% 13.96% 17.30% 18.63% 17.66% 13.35% 12.85% 14.03%
Max Increase 9.63% 12.72% 25.70% 37.67% 26.98% 48.89% 51.66% 46.20% 20.70% 29.39% 23.08%
Avg Days To Max Increase 17 5 15 18 26 16 19 13 24 17 16
Avg Max Decline -5.54% -1.54% -1.96% -0.41% -2.40% -2.03% -3.15% -3.60% -6.47% -11.22% -5.37%
Max Decline -12.68% -3.00% -2.90% -3.47% -3.33% -6.16% -6.26% -9.20% -11.97% -18.51% -11.41%
Avg Days to Max Decline 9 3 7 5 16 6 9 8 16 14 5
2004 Contract Condition       Yes   Yes Yes   Yes    
Action       Yes   Yes Yes   No    
Copyright © 2003 Moore Research Center, Inc. All Rights Reserved.
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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years 14 14 14 14 14 14 14 14 15 15 15
Closed Lower 6 10 11 9 6 3 4 5 7 9 9
Penetrated Low 5 7 9 8 3 1 4 4 7 7 9
Scenario Percentage 83% 70% 82% 89% 50% 33% 100% 80% 100% 78% 100%
Avg Max Decline 4.82% 8.71% 9.08% 7.72% 4.67% 1.04% 11.48% 20.74% 16.55% 13.28% 23.38%
Max Decline 9.66% 14.36% 18.69% 14.78% 6.65% 1.04% 25.63% 35.19% 26.65% 19.34% 42.90%
Avg Days To Max Decline 19 16 14 19 23 3 22 23 24 15 18
Avg Max Increase -3.28% -1.04% -2.44% -1.65% -4.47% -0.26% -3.95% -3.41% -7.80% -4.54% -8.25%
Max Increase -4.83% -1.72% -6.49% -10.41% -10.77% -0.26% -11.31% -10.27% -13.65% -13.49% -28.51%
Avg Days to Max Increase 16 8 7 6 18 3 9 9 15 16 10
2004 Contract Condition Yes Yes Yes   Yes     Yes   Yes Yes
Action Yes Yes No   No     No   Yes Yes
High 4.840 4.949 4.730 5.300 5.535 5.505 6.003 6.140 6.780 6.730 6.500
Low 4.598 4.587 4.580 4.700 5.020 5.055 5.400 5.670 6.015 6.050 5.800
Close/Last 4.721 4.699 4.620 5.130 5.048 5.488 6.003 5.979 6.464 6.174 6.112