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