MRCI's ScenarioSM Study

ScenarioSM Study for March 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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years	17	18	19	19	19	19	19	19	19	19	19
Closed Higher	14	13	11	9	10	10	12	9	5	6	9
Exceeded High	14	11	7	4	9	9	9	3	4	6	8
Scenario Percentage	100%	85%	64%	44%	90%	90%	75%	33%	80%	100%	89%
Avg Max Increase	13.27%	12.14%	7.45%	17.84%	16.45%	12.17%	12.27%	21.02%	38.98%	32.67%	16.50%
Max Increase	49.20%	41.19%	14.43%	45.89%	59.17%	24.29%	23.36%	46.56%	57.64%	96.08%	64.14%
Avg Days To Max Increase	19	16	19	16	20	12	15	16	14	14	12
Avg Max Decline	-2.40%	-1.97%	-2.07%	-2.22%	-3.30%	-2.31%	-4.56%	-3.34%	-3.15%	-5.04%	-4.92%
Max Decline	-6.69%	-6.93%	-6.33%	-5.69%	-8.69%	-5.93%	-14.19%	-6.98%	-13.09%	-15.72%	-18.55%
Avg Days to Max Decline	8	8	11	5	8	7	12	4	8	6	2
2009 Contract Condition	Yes	Yes	Yes	Yes
Action	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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years	17	18	19	19	19	19	19	19	19	19	19
Closed Lower	3	5	8	10	9	9	7	10	14	13	10
Penetrated Low	3	4	6	6	8	8	6	8	12	12	8
Scenario Percentage	100%	80%	75%	60%	89%	89%	86%	80%	86%	92%	80%
Avg Max Decline	7.37%	5.90%	7.85%	9.70%	9.04%	10.85%	10.72%	14.44%	18.78%	19.24%	26.81%
Max Decline	17.90%	12.62%	17.21%	17.79%	23.20%	29.22%	20.59%	25.09%	33.41%	39.26%	61.68%
Avg Days To Max Decline	19	16	18	20	15	13	26	19	20	18	16
Avg Max Increase	-5.03%	-2.67%	-6.57%	-3.34%	-3.34%	-2.88%	-9.20%	-6.11%	-4.50%	-4.33%	-7.63%
Max Increase	-12.76%	-5.72%	-13.60%	-10.34%	-8.18%	-10.34%	-23.13%	-26.05%	-13.34%	-37.04%	-22.13%
Avg Days to Max Increase	8	9	12	16	12	9	13	8	8	5	3
2009 Contract Condition					Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action					Yes	Yes	Yes	Yes	Yes	Yes	Yes
High	11.165	12.127	12.825	14.010	14.169	10.311	8.835	8.285	7.548	6.660	6.245
Low	9.630	10.183	11.312	12.591	9.725	8.640	7.714	6.560	6.297	5.282	4.355
Close/Last	10.913	11.600	12.382	13.960	10.044	8.878	7.930	7.051	6.540	5.657	4.417