MRCI's ScenarioSM Study

ScenarioSM Study for March Natural Gas(NYM) as of Dec 31, 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	Jan
Tested Years		18	19	20	20	20	20	20	20	20	20	20
Closed Higher		14	13	12	9	10	10	13	9	5	7	9
Exceeded High		14	11	8	4	9	9	10	3	4	7	8
Scenario Percentage		100%	85%	67%	44%	90%	90%	77%	33%	80%	100%	89%
Avg Max Increase		13.27%	12.14%	7.60%	17.84%	16.45%	12.17%	11.56%	21.02%	38.98%	21.67%	10.92%
Max Increase		49.20%	41.19%	14.43%	45.89%	59.17%	24.29%	23.36%	46.56%	57.64%	42.80%	22.10%
Avg Days To Max Increase		19	16	19	16	20	12	16	16	14	13	12
Avg Max Decline		-2.40%	-1.97%	-2.04%	-2.22%	-3.30%	-2.31%	-4.76%	-3.34%	-3.15%	-4.21%	-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	10	5	8	7	11	4	8	6	2
2010 Contract Condition				Yes				Yes			Yes
Action				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	Jan
Tested Years		18	19	20	20	20	20	20	20	20	20	20
Closed Lower		4	6	8	11	10	10	7	11	15	13	11
Penetrated Low		4	4	6	7	9	9	6	9	13	12	9
Scenario Percentage		100%	67%	75%	64%	90%	90%	86%	82%	87%	92%	82%
Avg Max Decline		6.77%	5.90%	7.85%	9.88%	9.80%	10.64%	10.72%	14.62%	18.01%	18.46%	11.42%
Max Decline		17.90%	12.62%	17.21%	17.79%	23.20%	29.22%	20.59%	25.09%	33.41%	38.59%	25.13%
Avg Days To Max Decline		22	16	18	22	14	12	26	17	19	17	19
Avg Max Increase		-4.61%	-2.67%	-6.57%	-3.59%	-3.90%	-2.59%	-9.20%	-5.54%	-4.20%	-4.33%	-7.97%
Max Increase		-12.76%	-5.72%	-13.60%	-10.34%	-8.44%	-10.34%	-23.13%	-26.05%	-13.34%	-37.04%	-22.13%
Avg Days to Max Increase		10	9	12	19	11	8	13	7	7	5	4
2010 Contract Condition		Yes	Yes		Yes	Yes	Yes		Yes	Yes		Yes
Action		Yes	No		Yes	Yes	Yes		Yes	Yes		Yes
High	6.627	6.176	5.950	6.398	6.410	5.873	6.106	5.999	6.242	5.477	5.992	6.027
Low	5.819	5.481	5.470	5.545	5.777	5.230	5.171	4.733	5.339	4.696	4.550	5.060
Close/Last	6.005	5.756	5.539	5.896	5.810	5.631	5.198	5.937	5.425	4.989	5.532	5.131