MRCI's ScenarioSM Study

ScenarioSM Study for January Natural Gas(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	16	17	17	17	18	18	18	18	18	18	18
Closed Higher	11	13	13	12	10	8	10	10	12	8	4
Exceeded High	10	11	13	9	6	3	9	8	10	3	3
Scenario Percentage	91%	85%	100%	75%	60%	38%	90%	80%	83%	38%	75%
Avg Max Increase	10.40%	12.09%	12.70%	14.27%	6.69%	28.06%	19.95%	18.58%	17.04%	29.44%	55.63%
Max Increase	24.83%	31.64%	47.87%	40.48%	14.63%	48.16%	64.91%	28.43%	50.25%	70.50%	84.34%
Avg Days To Max Increase	22	16	19	15	20	19	21	14	18	17	22
Avg Max Decline	-2.01%	-1.67%	-2.07%	-1.71%	-3.70%	-3.75%	-3.42%	-2.35%	-5.09%	-3.37%	-3.70%
Max Decline	-3.69%	-4.73%	-6.57%	-4.41%	-6.74%	-5.99%	-10.22%	-6.31%	-15.91%	-6.78%	-11.07%
Avg Days to Max Decline	9	6	10	3	20	10	8	6	10	4	1
2007 Contract Condition	Yes		Yes	Yes		Yes	Yes			Yes	Yes
Action	Yes		Yes	No		Yes	Yes			Yes	Not Yet

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Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	16	17	17	17	18	18	18	18	18	18	18
Closed Lower	4	4	4	5	8	10	8	8	6	10	14
Penetrated Low	4		4	5	6	8	7	7	5	8	13
Scenario Percentage	100%	0%	100%	100%	75%	80%	88%	88%	83%	80%	93%
Avg Max Decline	1.70%		9.24%	10.77%	10.62%	9.19%	8.30%	9.53%	13.87%	17.88%	20.46%
Max Decline	4.35%		20.78%	26.58%	17.81%	21.28%	13.03%	29.96%	23.74%	26.88%	59.16%
Avg Days To Max Decline	7		20	20	22	22	13	11	25	16	9
Avg Max Increase	-1.00%		-3.64%	-2.47%	-6.46%	-2.85%	-4.44%	-3.88%	-11.71%	-5.04%	-9.92%
Max Increase	-1.59%		-11.41%	-5.79%	-13.60%	-8.21%	-9.78%	-12.23%	-25.00%	-11.72%	-53.30%
Avg Days to Max Increase	1		11	12	11	19	10	8	26	7	5
2007 Contract Condition		Yes			Yes			Yes	Yes
Action		No			Yes			Yes	No
High	12.040	12.150	11.250	12.530	11.650	11.150	11.700	12.068	10.750	8.874	9.050
Low	10.930	10.030	10.260	10.710	9.900	10.020	9.800	10.490	7.444	7.530	7.801
Close/Last	11.881	10.430	10.715	11.358	10.086	10.424	11.691	10.628	7.800	7.998	8.844