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MRCI's ScenarioSM Study
ScenarioSM Study for December Natural Gas(NYM) as of Aug 31, 2006
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 14 15 15 15 15 16 16 16 16 16 16
Closed Higher 6 9 13 11 10 9 6 9 11 10 5
Exceeded High 5 8 11 11 9 4 2 8 9 8 1
Scenario Percentage 83% 89% 85% 100% 90% 44% 33% 89% 82% 80% 20%
Avg Max Increase 14.57% 11.86% 12.64% 13.54% 13.99% 8.06% 26.94% 23.49% 17.94% 20.47% 48.46%
Max Increase 31.28% 23.70% 34.97% 48.25% 40.77% 12.88% 52.45% 67.45% 32.88% 69.88% 48.46%
Avg Days To Max Increase 19 26 18 18 14 23 16 23 13 18 21
Avg Max Decline -0.36% -1.97% -1.74% -2.09% -2.02% -3.34% -0.58% -3.69% -2.43% -5.84% -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 10 3 10 7 16 1 9 7 7 5
2006 Contract Condition Yes     Yes Yes   Yes Yes      
Action No     Yes No   Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years 14 15 15 15 15 16 16 16 16 16 16
Closed Lower 8 6 2 4 5 7 10 7 5 6 11
Penetrated Low 7 3   4 5 5 8 6 5 6 9
Scenario Percentage 88% 50% 0% 100% 100% 71% 80% 86% 100% 100% 82%
Avg Max Decline 4.64% 2.65%   9.51% 11.99% 11.47% 9.16% 9.32% 8.97% 13.28% 23.15%
Max Decline 11.38% 3.32%   21.83% 28.01% 19.05% 23.07% 13.25% 16.61% 29.25% 59.69%
Avg Days To Max Decline 13 13   20 21 24 20 14 8 18 21
Avg Max Increase -0.94% -3.25%   -3.59% -2.63% -7.10% -1.96% -4.43% -4.72% -11.98% -9.40%
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 10 6   10 18 17 11 9 8 21 8
2006 Contract Condition   Yes Yes     Yes     Yes    
Action   Yes No     Yes     Not Yet    
High 12.183 11.504 11.600 10.650 11.770 10.930 10.490 11.111 11.340    
Low 11.040 10.470 9.520 9.600 10.050 9.290 9.400 9.000 9.820    
Close/Last 11.479 11.391 9.725 10.065 10.583 9.556 9.689 11.111 9.978