MRCI's ScenarioSM Study

ScenarioSM Study for February 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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years	18	18	18	19	19	19	19	19	19	19	19
Closed Higher	14	14	12	10	8	10	8	11	9	5	6
Exceeded High	12	14	11	7	3	9	7	9	3	4	4
Scenario Percentage	86%	100%	92%	70%	38%	90%	88%	82%	33%	80%	67%
Avg Max Increase	12.88%	13.23%	11.95%	7.61%	21.15%	18.50%	19.71%	15.86%	26.82%	43.03%	18.52%
Max Increase	31.04%	47.84%	40.31%	14.47%	46.67%	62.28%	27.84%	34.35%	63.61%	61.54%	22.15%
Avg Days To Max Increase	16	19	16	20	11	20	16	19	16	15	12
Avg Max Decline	-1.88%	-2.30%	-2.20%	-2.43%	-2.20%	-3.52%	-2.07%	-5.21%	-3.48%	-2.45%	2.96%
Max Decline	-6.55%	-6.55%	-6.85%	-5.23%	-5.63%	-9.57%	-5.91%	-14.84%	-7.41%	-9.36%	0.23%
Avg Days to Max Decline	9	8	6	15	7	9	6	14	4	1	4
2009 Contract Condition	Yes	Yes	Yes	Yes	Yes
Action	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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years	18	18	18	19	19	19	19	19	19	19	19
Closed Lower	4	4	6	8	10	9	11	8	10	14	13
Penetrated Low		4	5	6	7	8	9	7	8	12	12
Scenario Percentage	0%	100%	83%	75%	70%	89%	82%	88%	80%	86%	92%
Avg Max Decline		9.01%	11.75%	10.44%	9.15%	9.49%	10.86%	11.58%	17.56%	22.78%	23.78%
Max Decline		20.31%	26.74%	17.21%	19.37%	23.49%	29.36%	21.56%	27.37%	41.55%	50.56%
Avg Days To Max Decline		20	19	22	18	15	13	23	23	18	19
Avg Max Increase		-3.58%	-2.12%	-6.50%	-2.51%	-3.63%	-2.74%	-9.69%	-6.59%	-5.47%	-7.97%
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	11	18	10	6	14	8	9	8
2009 Contract Condition						Yes	Yes	Yes	Yes	Yes	Yes
Action						Yes	Yes	Yes	Yes	Yes	Yes
High	10.570	11.407	12.400	13.050	14.280	14.460	10.485	9.000	8.412	7.610	6.711
Low	8.861	9.865	10.422	11.601	12.827	9.882	8.820	7.807	6.600	6.318	5.245
Close/Last	10.517	11.153	11.885	12.632	14.238	10.204	9.038	8.055	7.114	6.570	5.622