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MRCI's ScenarioSM Study
ScenarioSM Study for October Natural Gas(NYM) as of Jun 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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 14 14 14 14 14 14 14 15 15 15 15
Closed Higher 4 3 7 6 12 10 9 9 6 6 8
Exceeded High 2 3 6 6 10 10 8 5 4 6 6
Scenario Percentage 50% 100% 86% 100% 83% 100% 89% 56% 67% 100% 75%
Avg Max Increase 7.69% 12.15% 14.51% 13.52% 16.45% 17.34% 16.26% 11.01% 11.59% 28.87% 19.13%
Max Increase 13.84% 26.17% 36.22% 25.86% 45.23% 50.99% 44.79% 18.93% 29.31% 59.93% 32.10%
Avg Days To Max Increase 3 8 19 26 17 18 13 24 18 19 21
Avg Max Decline -1.04% -1.98% -1.88% -2.49% -1.76% -2.73% -3.24% -6.38% -10.17% -6.11% -3.18%
Max Decline -2.85% -2.44% -3.57% -4.49% -6.23% -6.20% -6.98% -12.50% -17.71% -12.12% -5.95%
Avg Days to Max Decline 5 6 10 11 6 9 8 14 14 8 4
2005 Contract Condition Yes     Yes Yes Yes     Yes    
Action No     Yes Yes Yes     Not Yet    
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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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 14 14 14 14 14 14 14 15 15 15 15
Closed Lower 8 9 7 8 2 4 5 6 9 9 7
Penetrated Low 5 7 6 4   4 4 6 7 8 6
Scenario Percentage 63% 78% 86% 50% 0% 100% 80% 100% 78% 89% 86%
Avg Max Decline 8.26% 7.47% 7.67% 5.21%   10.75% 19.32% 15.80% 15.35% 15.41% 19.28%
Max Decline 13.08% 18.19% 14.54% 6.79%   25.09% 34.29% 25.77% 30.41% 29.30% 38.70%
Avg Days To Max Decline 20 11 21 18   20 23 24 24 15 15
Avg Max Increase -1.37% -2.73% -1.75% -4.20%   -4.21% -3.03% -7.69% -4.91% -6.87% -7.97%
Max Increase -3.21% -6.24% -9.20% -10.64%   -11.44% -7.85% -13.64% -11.83% -14.26% -14.29%
Avg Days to Max Increase 10 8 7 13   9 8 17 18 8 10
2005 Contract Condition   Yes Yes       Yes Yes      
Action   Yes Yes       Yes Not Yet      
High 7.420 7.240 6.830 6.600 6.980 8.010 8.110 7.050 7.920    
Low 6.300 6.550 6.200 5.880 6.270 6.840 6.820 6.350 6.565    
Close/Last 7.163 6.765 6.210 6.518 6.980 7.938 6.857 6.558 7.103