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MRCI's ScenarioSM Study
ScenarioSM Study for December Natural Gas(NYM) as of Jan 13, 2005
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 13 14 14 14 14 15 15 15 15 15 15
Closed Higher 6 8 12 10 10 9 5 8 10 9 5
Exceeded High 5 7 10 10 9 4 1 7 8 7 1
Scenario Percentage 83% 88% 83% 100% 90% 44% 20% 88% 80% 78% 20%
Avg Max Increase 14.57% 10.68% 12.56% 14.69% 13.99% 8.06% 1.43% 17.21% 16.67% 22.59% 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 19 26 19 20 14 23 1 22 15 20 21
Avg Max Decline -0.36% -1.79% -1.74% -2.26% -2.02% -3.34% -1.43% -4.34% -2.49% -6.58% -7.26%
Max Decline -2.36% -3.30% -4.84% -5.84% -5.07% -5.95% -1.43% -13.32% -7.45% -17.06% -7.26%
Avg Days to Max Decline 3 11 4 10 7 16 1 10 8 7 5
2004 Contract Condition Yes   Yes Yes Yes Yes   Yes   Yes Yes
Action Yes   Yes Yes Yes No   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 13 14 14 14 14 15 15 15 15 15 15
Closed Lower 7 6 2 4 4 6 10 7 5 6 10
Penetrated Low 6 3   4 4 5 8 6 5 6 8
Scenario Percentage 86% 50% 0% 100% 100% 83% 80% 86% 100% 100% 80%
Avg Max Decline 4.56% 2.65%   9.51% 14.08% 11.47% 9.16% 9.32% 8.97% 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 20 14 8 18 21
Avg Max Increase -1.63% -3.25%   -3.59% -2.84% -7.10% -1.96% -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 8 21 7
2004 Contract Condition   Yes         Yes   Yes    
Action   No         Yes   Yes    
High 5.670 5.880 5.830 6.318 6.471 7.110 7.090 6.950 6.890 7.800 9.440
Low 5.010 5.453 5.455 5.740 6.067 6.340 6.520 6.530 6.280 5.930 7.430
Close/Last 5.485 5.453 5.819 6.318 6.326 6.847 6.682 6.841 6.302 7.635 8.725