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MRCI's ScenarioSM Study
ScenarioSM Study for September Natural Gas(NYM) as of May 31, 2005
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
2005 Contract Condition 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 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% 14.81% 24.26%
Max Decline 9.66% 14.36% 18.69% 14.78% 6.65% 1.04% 25.63% 35.19% 26.65% 24.34% 42.90%
Avg Days To Max Decline 19 16 14 19 23 3 22 23 24 16 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
2005 Contract Condition     Yes Yes       Yes Yes    
Action     Yes Yes       Yes Not Yet    
High 6.500 7.380 7.210 6.810 6.590 6.960 7.950 8.060 7.030    
Low 5.900 6.310 6.520 6.180 5.870 6.249 6.820 6.790 6.300    
Close/Last 6.445 7.133 6.742 6.180 6.495 6.958 7.908 6.808 6.490