MRCI's ScenarioSM Study

ScenarioSM Study for October Natural Gas(NYM) as of Apr 30, 2006
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	15	15	15	15	15	15	15	16	16	16	16
Closed Higher	5	3	7	7	13	11	9	9	7	7	9
Exceeded High	2	3	6	7	11	11	8	5	5	7	7
Scenario Percentage	40%	100%	86%	100%	85%	100%	89%	56%	71%	100%	78%
Avg Max Increase	7.69%	12.15%	14.51%	14.86%	16.43%	15.96%	16.26%	11.01%	23.76%	34.60%	18.82%
Max Increase	13.84%	26.17%	36.22%	25.86%	45.23%	50.99%	44.79%	18.93%	72.46%	68.95%	32.10%
Avg Days To Max Increase	3	8	19	27	15	17	13	24	21	20	21
Avg Max Decline	-1.04%	-1.98%	-1.88%	-2.67%	-1.78%	-2.51%	-3.24%	-6.38%	-8.03%	-5.08%	-3.70%
Max Decline	-2.85%	-2.44%	-3.57%	-4.49%	-6.23%	-6.20%	-6.98%	-12.50%	-17.71%	-12.12%	-6.82%
Avg Days to Max Decline	5	6	10	10	5	8	8	14	11	7	5
2006 Contract Condition		Yes	Yes			Yes		Yes
Action		Yes	No			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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	15	15	15	15	15	15	15	16	16	16	16
Closed Lower	8	10	8	8	2	4	6	7	9	9	7
Penetrated Low	5	8	7	4		4	5	6	7	8	6
Scenario Percentage	63%	80%	88%	50%	0%	100%	83%	86%	78%	89%	86%
Avg Max Decline	8.26%	8.17%	7.33%	5.21%		10.75%	16.93%	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	10	18	18		20	23	24	24	15	15
Avg Max Increase	-1.37%	-2.51%	-1.02%	-4.20%		-4.21%	-2.98%	-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	9	7	13		9	8	17	18	8	10
2006 Contract Condition	Yes			Yes	Yes		Yes
Action	Yes			Yes	No		Not Yet
High	10.924	10.618	11.278	10.390	10.280	8.300	9.250	7.910
Low	10.100	9.600	10.120	8.780	7.440	7.470	7.610	7.720
Close/Last	10.376	10.456	10.489	9.871	7.535	8.060	7.663	7.910