MRCI's ScenarioSM Study

ScenarioSM Study for March Natural Gas(NYM) as of Dec 30, 2011
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		19	20	21	21	21	21	21	21	21	21	21
Closed Higher		14	13	13	9	10	10	13	9	5	8	9
Exceeded High		14	11	9	4	9	9	10	3	4	8	8
Scenario Percentage		100%	85%	69%	44%	90%	90%	77%	33%	80%	100%	89%
Avg Max Increase		13.27%	12.14%	7.62%	17.84%	16.45%	12.17%	11.56%	21.02%	38.98%	20.09%	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	18	16	20	12	16	16	14	14	12
Avg Max Decline		-2.40%	-1.97%	-2.05%	-2.22%	-3.30%	-2.31%	-4.76%	-3.34%	-3.15%	-4.03%	-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	9	5	8	7	11	4	8	6	2
2011 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	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan
Tested Years		19	20	21	21	21	21	21	21	21	21	21
Closed Lower		5	7	8	12	11	11	8	12	16	13	12
Penetrated Low		5	5	6	8	10	10	7	9	13	12	10
Scenario Percentage		100%	71%	75%	67%	91%	91%	88%	75%	81%	92%	83%
Avg Max Decline		6.03%	5.27%	7.85%	10.73%	10.84%	11.16%	10.55%	14.62%	18.01%	18.46%	11.64%
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	18	18	22	15	13	26	17	19	17	19
Avg Max Increase		-5.20%	-3.71%	-6.57%	-3.51%	-3.65%	-2.40%	-8.20%	-5.54%	-4.20%	-4.33%	-7.34%
Max Increase		-12.76%	-7.89%	-13.60%	-10.34%	-8.44%	-10.34%	-23.13%	-26.05%	-13.34%	-37.04%	-22.13%
Avg Days to Max Increase		17	9	12	17	10	8	12	7	7	5	4
2011 Contract Condition		Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes		Yes
Action		Yes	Yes		Yes	Yes	Yes	Yes	No	No		Yes
High	6.544	5.995	5.630	5.675	5.749	5.458	5.327	4.613	4.354	4.454	4.601	4.823
Low	5.881	5.147	5.211	5.115	5.220	5.034	4.418	4.194	3.854	3.890	3.980	4.252
Close/Last	5.960	5.278	5.260	5.336	5.299	5.253	4.580	4.259	4.219	4.169	4.422	4.420