MRCI's ScenarioSM Study

ScenarioSM Study for February Natural Gas(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years	16	16	16	17	17	17	17	17	17	17	17
Closed Higher	12	12	10	9	7	10	8	10	8	5	5
Exceeded High	10	12	9	6	2	9	7	8	2	4	3
Scenario Percentage	83%	100%	90%	67%	29%	90%	88%	80%	25%	80%	60%
Avg Max Increase	12.94%	13.72%	12.10%	6.47%	30.94%	18.50%	19.71%	16.41%	38.02%	43.03%	20.24%
Max Increase	31.04%	47.84%	40.31%	13.99%	46.67%	62.28%	27.84%	34.35%	63.61%	61.54%	22.15%
Avg Days To Max Increase	15	19	14	23	16	20	16	21	23	15	11
Avg Max Decline	-1.41%	-1.88%	-2.15%	-3.09%	-2.89%	-3.52%	-2.07%	-5.34%	-4.88%	-2.45%	3.87%
Max Decline	-4.31%	-6.51%	-6.85%	-5.23%	-5.63%	-9.57%	-5.91%	-14.84%	-7.41%	-9.36%	1.27%
Avg Days to Max Decline	8	8	8	17	9	9	6	13	6	1	4
2007 Contract Condition		Yes	Yes		Yes	Yes			Yes	Yes
Action		Yes	No		Yes	Yes			Yes	Not Yet

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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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years	16	16	16	17	17	17	17	17	17	17	17
Closed Lower	4	4	6	7	9	7	9	7	9	12	12
Penetrated Low		4	5	5	6	6	7	6	7	10	11
Scenario Percentage	0%	100%	83%	71%	67%	86%	78%	86%	78%	83%	92%
Avg Max Decline		9.01%	11.75%	9.51%	8.56%	6.61%	9.69%	9.92%	16.32%	23.97%	24.42%
Max Decline		20.31%	26.74%	17.21%	19.37%	10.02%	29.36%	18.65%	27.37%	41.55%	50.56%
Avg Days To Max Decline		20	19	22	16	14	12	22	23	19	19
Avg Max Increase		-3.58%	-2.12%	-7.34%	-2.49%	-3.52%	-3.25%	-10.56%	-6.53%	-6.02%	-7.69%
Max Increase		-11.49%	-6.00%	-13.78%	-8.56%	-8.87%	-10.37%	-27.12%	-25.13%	-16.00%	-39.28%
Avg Days to Max Increase		11	7	13	13	11	7	16	9	9	8
2007 Contract Condition	Yes			Yes			Yes	Yes			Yes
Action	No			Yes			Yes	No			Not Yet
High	12.150	11.230	12.500	11.650	11.170	11.701	12.050	10.760	8.900	9.060	8.799
Low	10.060	10.280	10.645	9.900	10.030	9.870	10.500	7.532	7.615	7.869	6.000
Close/Last	10.435	10.710	11.365	10.096	10.459	11.701	10.663	7.878	8.058	8.894	6.299