MRCI's ScenarioSM Study

ScenarioSM Study for January Natural Gas(NYM) as of Dec 30, 2011
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		20	21	21	21	22	22	22	22	22	22	22
Closed Higher		12	14	15	14	13	9	10	10	13	8	4
Exceeded High		11	12	15	11	9	4	9	8	11	3	3
Scenario Percentage		92%	86%	100%	79%	69%	44%	90%	80%	85%	38%	75%
Avg Max Increase		11.73%	12.56%	12.50%	13.66%	8.13%	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	18	16	17	14	21	14	18	17	22
Avg Max Decline		-2.14%	-2.10%	-2.59%	-2.47%	-2.91%	-3.09%	-3.42%	-2.35%	-5.32%	-3.37%	-3.70%
Max Decline		-3.69%	-6.85%	-6.57%	-9.29%	-6.74%	-5.99%	-10.22%	-6.31%	-15.91%	-6.78%	-11.07%
Avg Days to Max Decline		8	7	9	4	14	8	8	6	9	4	1
2011 Contract Condition						Yes
Action						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		20	21	21	21	22	22	22	22	22	22	22
Closed Lower		7	7	6	7	9	13	12	12	9	14	18
Penetrated Low		7	3	6	6	7	11	11	11	8	12	15
Scenario Percentage		100%	43%	100%	86%	78%	85%	92%	92%	89%	86%	83%
Avg Max Decline		6.94%	9.90%	7.75%	9.46%	10.83%	10.57%	11.93%	12.17%	14.76%	18.81%	13.33%
Max Decline		18.30%	13.87%	20.78%	26.58%	17.81%	21.28%	23.85%	29.96%	23.74%	27.29%	19.97%
Avg Days To Max Decline		11	21	22	21	23	24	16	15	22	17	17
Avg Max Increase		-2.03%	-1.34%	-4.20%	-3.39%	-6.02%	-3.04%	-4.23%	-2.70%	-8.36%	-5.98%	-5.54%
Max Increase		-5.22%	-3.06%	-11.41%	-7.95%	-13.60%	-8.21%	-9.78%	-12.23%	-25.00%	-24.83%	-25.37%
Avg Days to Max Increase		4	9	17	12	11	18	7	8	22	8	4
2011 Contract Condition		Yes	Yes	Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	Yes	Yes		Yes	Yes	Yes	Yes	Yes	Not Yet
High	7.140	7.040	6.808	6.187	5.775	5.813	5.949	5.611	5.468	4.681	4.391	4.515
Low	6.300	6.428	6.058	5.286	5.350	5.228	5.340	5.136	4.467	4.219	3.868	3.853
Close/Last	6.768	6.470	6.137	5.410	5.385	5.467	5.434	5.390	4.654	4.294	4.265	4.180