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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Natural Gas(NYM) as of Jan 01, 2009
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 Nov
Tested Years   17 18 18 18 19 19 19 19 19 19 19
Closed Higher   12 14 14 13 11 9 10 10 12 8 4
Exceeded High   11 12 14 10 7 4 9 8 10 3 3
Scenario Percentage   92% 86% 100% 77% 64% 44% 90% 80% 83% 38% 75%
Avg Max Increase   11.73% 12.56% 13.09% 14.87% 7.84% 21.48% 19.95% 18.58% 17.04% 29.44% 55.63%
Max Increase   25.04% 31.64% 47.87% 40.48% 14.74% 48.16% 64.91% 28.43% 50.25% 70.50% 84.34%
Avg Days To Max Increase   21 17 19 16 17 14 21 14 18 17 22
Avg Max Decline   -2.14% -2.10% -2.39% -1.79% -3.17% -3.09% -3.42% -2.35% -5.09% -3.37% -3.70%
Max Decline   -3.69% -6.85% -6.57% -4.41% -6.74% -5.99% -10.22% -6.31% -15.91% -6.78% -11.07%
Avg Days to Max Decline   8 7 9 2 17 8 8 6 10 4 1
2008 Contract Condition   Yes Yes Yes Yes         Yes Yes  
Action   Yes Yes Yes Yes         Yes Yes  
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   17 18 18 18 19 19 19 19 19 19 19
Closed Lower   4 4 4 5 8 10 9 9 7 11 15
Penetrated Low   4   4 5 6 8 8 8 6 9 12
Scenario Percentage   100% 0% 100% 100% 75% 80% 89% 89% 86% 82% 80%
Avg Max Decline   1.70%   9.24% 10.77% 10.62% 9.19% 10.24% 11.78% 15.29% 18.80% 12.98%
Max Decline   4.35%   20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 26.88% 19.97%
Avg Days To Max Decline   7   20 20 22 22 15 13 23 16 13
Avg Max Increase   -1.00%   -3.64% -2.47% -6.46% -2.85% -4.39% -3.40% -10.52% -5.32% -4.41%
Max Increase   -1.59%   -11.41% -5.79% -13.60% -8.21% -9.78% -12.23% -25.00% -11.72% -14.45%
Avg Days to Max Increase   1   11 12 11 19 9 9 22 7 4
2008 Contract Condition           Yes Yes Yes Yes     Yes
Action           Yes Yes Yes Yes     Yes
High 9.640 9.404 9.730 9.900 10.050 10.250 10.173 9.055 9.154 8.361 8.794 9.065
Low 8.586 8.615 9.105 9.146 9.565 9.710 8.775 8.410 7.770 7.561 7.750 7.276
Close/Last 8.888 9.291 9.320 9.885 9.996 9.940 8.933 8.694 7.798 8.102 8.660 7.302

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