MRCI's ScenarioSM Study

ScenarioSM Study for January Natural Gas(NYM) as of Jan 01, 2013
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		21	22	22	22	23	23	23	23	23	23	23
Closed Higher		12	14	15	15	13	10	11	10	14	9	4
Exceeded High		11	12	15	12	9	5	10	8	12	3	3
Scenario Percentage		92%	86%	100%	80%	69%	50%	91%	80%	86%	33%	75%
Avg Max Increase		11.73%	12.56%	12.50%	13.23%	8.13%	18.62%	18.19%	18.58%	15.33%	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	18	22	14	18	17	22
Avg Max Decline		-2.14%	-2.10%	-2.59%	-2.40%	-2.91%	-3.04%	-4.41%	-2.35%	-4.91%	-3.37%	-3.70%
Max Decline		-3.69%	-6.85%	-6.57%	-9.29%	-6.74%	-5.99%	-13.28%	-6.31%	-15.91%	-6.78%	-11.07%
Avg Days to Max Decline		8	7	9	4	14	9	11	6	8	4	1
2012 Contract Condition				Yes	Yes
Action				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		21	22	22	22	23	23	23	23	23	23	23
Closed Lower		8	8	7	7	10	13	12	13	9	14	19
Penetrated Low		8	4	7	6	8	11	11	11	8	12	16
Scenario Percentage		100%	50%	100%	86%	80%	85%	92%	85%	89%	86%	84%
Avg Max Decline		6.92%	10.46%	7.80%	9.46%	10.19%	10.57%	11.93%	12.17%	14.76%	18.62%	12.84%
Max Decline		18.30%	13.87%	20.78%	26.58%	17.81%	21.28%	23.85%	29.96%	23.74%	26.88%	19.97%
Avg Days To Max Decline		11	21	22	21	22	24	16	15	22	15	16
Avg Max Increase		-2.83%	-1.44%	-4.03%	-3.39%	-5.45%	-3.04%	-4.23%	-2.70%	-8.36%	-5.98%	-5.52%
Max Increase		-8.42%	-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		6	11	15	12	11	18	7	8	22	8	4
2012 Contract Condition		Yes	Yes			Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes			Yes	Yes	Yes	Yes	Yes	Yes	Yes
High	5.360	5.375	5.160	5.265	5.283	5.335	5.356	4.962	4.629	4.564	4.165	4.075
Low	4.946	5.010	4.706	4.654	4.840	4.786	4.686	4.558	4.255	4.088	3.870	3.461
Close/Last	5.244	5.099	4.905	5.118	5.276	5.182	4.844	4.564	4.498	4.123	4.056	3.550