MRCI's ScenarioSM Study

ScenarioSM Study for April 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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	17	19	19	19	19	19	19	19	19	19	19
Closed Higher	11	12	10	11	10	12	7	5	6	9	11
Exceeded High	8	9	6	9	8	9	3	4	6	9	9
Scenario Percentage	73%	75%	60%	82%	80%	75%	43%	80%	100%	100%	82%
Avg Max Increase	13.42%	6.21%	9.82%	12.55%	10.06%	8.71%	15.55%	29.33%	30.74%	23.11%	15.86%
Max Increase	40.87%	14.45%	30.16%	44.89%	22.81%	17.16%	32.21%	36.90%	91.38%	61.63%	51.04%
Avg Days To Max Increase	13	17	14	19	16	16	16	22	21	14	18
Avg Max Decline	-1.45%	-1.78%	-1.71%	-2.44%	-2.44%	-4.28%	-2.48%	-2.39%	-3.01%	-3.88%	-3.61%
Max Decline	-3.57%	-4.92%	-3.92%	-7.28%	-6.23%	-13.58%	-5.63%	-5.51%	-10.03%	-9.15%	-10.23%
Avg Days to Max Decline	2	11	9	12	4	14	4	3	8	4	4
2009 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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	17	19	19	19	19	19	19	19	19	19	19
Closed Lower	5	7	9	8	9	7	12	14	13	10	8
Penetrated Low	3	2	5	5	8	6	10	12	11	9	6
Scenario Percentage	60%	29%	56%	62%	89%	86%	83%	86%	85%	90%	75%
Avg Max Decline	3.50%	9.57%	7.52%	8.44%	8.15%	9.51%	12.06%	15.61%	16.56%	11.08%	26.08%
Max Decline	5.13%	14.17%	14.07%	19.01%	23.69%	19.10%	23.08%	32.14%	36.48%	31.64%	59.70%
Avg Days To Max Decline	19	21	22	14	12	27	20	18	18	18	7
Avg Max Increase	-2.09%	-11.61%	-4.56%	-2.14%	-2.36%	-6.81%	-2.11%	-4.16%	-3.80%	-7.50%	-5.93%
Max Increase	-5.58%	-12.86%	-13.78%	-4.62%	-7.55%	-21.08%	-6.65%	-11.97%	-23.19%	-15.47%	-12.03%
Avg Days to Max Increase	8	18	19	2	8	14	3	7	5	7	8
2009 Contract Condition				Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action				Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
High	10.133	10.891	11.842	12.002	9.624	8.500	8.095	7.445	6.640	6.267	4.922
Low	8.671	9.600	10.576	9.001	8.392	7.580	6.500	6.290	5.370	4.428	3.916
Close/Last	9.770	10.487	11.800	9.359	8.518	7.775	6.981	6.525	5.725	4.489	4.198