MRCI's ScenarioSM Study

ScenarioSM Study for January Natural Gas(NYM) as of Jan 01, 2010
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	18	19	19	19	20	20	20	20	20	20	20
Closed Higher	12	14	14	13	12	9	10	10	13	8	4
Exceeded High	11	12	14	10	8	4	9	8	11	3	3
Scenario Percentage	92%	86%	100%	77%	67%	44%	90%	80%	85%	38%	75%
Avg Max Increase	11.73%	12.56%	13.09%	14.87%	8.05%	21.48%	19.95%	18.58%	15.95%	29.44%	56.39%
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%	-2.99%	-3.09%	-3.42%	-2.35%	-5.32%	-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	15	8	8	6	9	4	1
2009 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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov
Tested Years	18	19	19	19	20	20	20	20	20	20	20
Closed Lower	5	5	5	6	8	11	10	10	7	12	16
Penetrated Low	5	1	5	5	6	9	9	9	6	10	15
Scenario Percentage	100%	20%	100%	83%	75%	82%	90%	90%	86%	83%	94%
Avg Max Decline	4.31%	10.71%	8.63%	10.77%	10.62%	9.59%	11.00%	11.45%	15.29%	19.12%	19.73%
Max Decline	14.74%	10.71%	20.78%	26.58%	17.81%	21.28%	23.85%	29.96%	23.74%	27.29%	59.16%
Avg Days To Max Decline	9	30	22	20	22	23	14	12	23	17	12
Avg Max Increase	-1.56%	-3.06%	-3.55%	-2.47%	-6.46%	-3.08%	-4.85%	-3.07%	-10.52%	-6.79%	-8.83%
Max Increase	-3.79%	-3.06%	-11.41%	-5.79%	-13.60%	-8.21%	-9.78%	-12.23%	-25.00%	-24.83%	-53.30%
Avg Days to Max Increase	3	25	12	12	11	20	8	8	22	9	4
2009 Contract Condition							Yes	Yes	Yes	Yes	Yes
Action							Yes	Yes	Yes	Yes	Yes
High	9.360	10.603	11.460	12.460	13.218	14.350	14.546	10.610	9.025	8.388	7.586
Low	8.685	8.850	9.866	10.448	11.640	12.680	9.870	8.780	7.767	6.540	6.225
Close/Last	9.165	10.552	11.183	11.930	12.677	14.300	10.199	9.018	8.020	7.053	6.510