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| MRCI's ScenarioSM Study |
| ScenarioSM Study for October Natural Gas(NYM) as of Jun 30, 2007 |
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 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
17 |
17 |
17 |
17 |
| Closed Higher |
5 |
4 |
8 |
7 |
13 |
12 |
9 |
9 |
7 |
8 |
9 |
| Exceeded High |
2 |
4 |
6 |
7 |
11 |
12 |
8 |
5 |
5 |
8 |
7 |
| Scenario Percentage |
40% |
100% |
75% |
100% |
85% |
100% |
89% |
56% |
71% |
100% |
78% |
| Avg Max Increase |
7.69% |
11.08% |
14.51% |
14.86% |
16.43% |
15.86% |
16.26% |
11.01% |
23.76% |
29.75% |
17.86% |
| 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 |
17 |
20 |
| Avg Max Decline |
-1.04% |
-1.79% |
-1.88% |
-2.67% |
-1.78% |
-2.72% |
-3.24% |
-6.38% |
-8.03% |
-5.62% |
-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 |
4 |
10 |
10 |
5 |
8 |
8 |
14 |
11 |
6 |
5 |
| 2007 Contract Condition |
Yes |
Yes |
|
Yes |
|
Yes |
Yes |
|
|
|
|
| Action |
Yes |
No |
|
Yes |
|
Yes |
Yes |
|
|
|
|
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 |
16 |
16 |
16 |
16 |
16 |
16 |
16 |
17 |
17 |
17 |
17 |
| Closed Lower |
9 |
10 |
8 |
9 |
3 |
4 |
7 |
8 |
10 |
9 |
8 |
| Penetrated Low |
6 |
8 |
7 |
5 |
|
4 |
6 |
7 |
8 |
8 |
7 |
| Scenario Percentage |
67% |
80% |
88% |
56% |
0% |
100% |
86% |
88% |
80% |
89% |
88% |
| Avg Max Decline |
8.13% |
8.17% |
7.33% |
9.10% |
|
10.75% |
16.25% |
16.00% |
14.88% |
15.41% |
19.65% |
| Max Decline |
13.08% |
18.19% |
14.54% |
24.63% |
|
25.09% |
34.29% |
25.77% |
30.41% |
29.30% |
38.70% |
| Avg Days To Max Decline |
17 |
10 |
18 |
20 |
|
20 |
24 |
23 |
23 |
15 |
16 |
| Avg Max Increase |
-0.95% |
-2.51% |
-1.02% |
-4.19% |
|
-4.21% |
-4.05% |
-8.60% |
-4.72% |
-6.87% |
-7.02% |
| Max Increase |
-3.21% |
-6.24% |
-9.20% |
-10.64% |
|
-11.44% |
-9.36% |
-14.11% |
-11.83% |
-14.26% |
-14.29% |
| Avg Days to Max Increase |
9 |
9 |
7 |
10 |
|
9 |
9 |
17 |
17 |
8 |
10 |
| 2007 Contract Condition |
|
|
Yes |
|
Yes |
|
|
Yes |
Yes |
|
|
| Action |
|
|
No |
|
Yes |
|
|
Yes |
Not Yet |
|
|
| High |
8.330 |
8.641 |
8.480 |
8.230 |
8.390 |
8.350 |
8.500 |
8.630 |
8.512 |
|
|
| Low |
7.620 |
7.800 |
6.960 |
6.960 |
7.770 |
7.545 |
7.910 |
8.020 |
6.907 |
|
|
| Close/Last |
7.828 |
8.641 |
7.253 |
8.096 |
7.860 |
8.265 |
8.301 |
8.240 |
7.023 |
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