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MRCI's ScenarioSM Study
ScenarioSM Study for December Natural Gas(NYM) as of Dec 25, 2003
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 12 13 13 13 13 14 14 14 14 14 14
Closed Higher 5 8 11 9 9 8 5 7 10 8 4
Exceeded High 4 7 9 9 8 4 1 6 8 6 1
Scenario Percentage 80% 88% 82% 100% 89% 50% 20% 86% 80% 75% 25%
Avg Max Increase 16.42% 10.68% 12.71% 14.93% 14.19% 8.06% 1.43% 17.74% 16.67% 22.41% 48.46%
Max Increase 31.28% 23.70% 34.97% 48.25% 40.77% 12.88% 1.43% 43.74% 32.88% 69.88% 48.46%
Avg Days To Max Increase 22 26 20 20 13 23 1 21 15 19 21
Avg Max Decline -1.11% -1.79% -1.79% -2.07% -2.30% -3.34% -1.43% -2.84% -2.49% -7.23% -7.26%
Max Decline -2.36% -3.30% -4.84% -5.84% -5.07% -5.95% -1.43% -6.85% -7.45% -17.06% -7.26%
Avg Days to Max Decline 2 11 4 10 8 16 1 4 8 8 5
2003 Contract Condition Yes Yes Yes   Yes Yes     Yes    
Action Yes Yes No   Yes Yes     Yes    
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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 12 13 13 13 13 14 14 14 14 14 14
Closed Lower 7 5 2 4 4 6 9 7 4 6 10
Penetrated Low 6 3   4 4 5 7 6 4 6 8
Scenario Percentage 86% 60% 0% 100% 100% 83% 78% 86% 100% 100% 80%
Avg Max Decline 4.56% 2.65%   9.51% 14.08% 11.47% 9.61% 9.32% 9.74% 13.28% 18.59%
Max Decline 11.38% 3.32%   21.83% 28.01% 19.05% 23.07% 13.25% 16.61% 29.25% 46.33%
Avg Days To Max Decline 15 13   20 23 24 18 14 7 18 21
Avg Max Increase -1.63% -3.25%   -3.59% -2.84% -7.10% -1.66% -4.43% -4.72% -11.98% -10.37%
Max Increase -7.66% -8.82%   -11.38% -5.99% -14.34% -7.47% -9.98% -11.84% -31.20% -47.44%
Avg Days to Max Increase 11 6   10 20 17 11 9 7 21 7
2003 Contract Condition       Yes     Yes Yes   Yes Yes
Action       Yes     Yes Yes   Yes Yes
High 4.815 5.165 6.212 5.970 5.960 6.620 6.830 6.000 5.750 5.430 6.100
Low 4.230 4.780 5.000 5.230 5.185 5.560 5.760 5.110 5.150 4.860 4.640
Close/Last 4.732 5.022 5.811 5.300 5.735 6.519 5.819 5.228 5.251 5.082 4.893