MRCI's ScenarioSM Study

ScenarioSM Study for April 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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		18	20	20	20	20	20	20	20	20	20	20
Closed Higher		11	13	10	11	10	13	7	5	7	9	11
Exceeded High		8	10	6	9	8	10	3	4	6	9	9
Scenario Percentage		73%	77%	60%	82%	80%	77%	43%	80%	86%	100%	82%
Avg Max Increase		13.42%	6.43%	9.82%	12.55%	10.06%	8.30%	15.55%	29.33%	30.74%	23.45%	16.19%
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	15	19
Avg Max Decline		-1.45%	-1.72%	-1.71%	-2.44%	-2.44%	-4.45%	-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	10	9	12	4	12	4	3	8	4	4
2010 Contract Condition			Yes				Yes			Yes
Action			Yes				Yes			No

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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	Feb
Tested Years		18	20	20	20	20	20	20	20	20	20	20
Closed Lower		6	7	10	9	10	7	13	15	13	11	9
Penetrated Low		3	2	6	6	9	6	11	13	11	10	7
Scenario Percentage		50%	29%	60%	67%	90%	86%	85%	87%	85%	91%	78%
Avg Max Decline		3.50%	9.57%	7.82%	9.40%	8.15%	9.51%	12.35%	15.07%	16.56%	12.59%	9.50%
Max Decline		5.13%	14.17%	14.07%	19.01%	23.69%	19.10%	23.08%	32.14%	36.48%	31.64%	19.74%
Avg Days To Max Decline		19	21	20	12	11	27	19	17	18	20	20
Avg Max Increase		-2.09%	-11.61%	-3.96%	-2.74%	-2.12%	-6.81%	-1.97%	-3.86%	-3.80%	-7.76%	-4.19%
Max Increase		-5.58%	-12.86%	-13.78%	-5.75%	-7.55%	-21.08%	-6.65%	-11.97%	-23.19%	-15.47%	-12.03%
Avg Days to Max Increase		8	18	16	2	8	14	3	6	5	7	6
2010 Contract Condition		Yes		Yes	Yes	Yes		Yes	Yes		Yes	Yes
Action		No		Yes	Yes	Yes		Yes	Yes		Yes	Yes
High	5.905	5.755	6.192	6.255	5.755	5.886	5.950	6.180	5.450	5.940	5.930	5.638
Low	5.212	5.333	5.414	5.662	5.170	5.180	4.775	5.336	4.738	4.595	5.056	4.739
Close/Last	5.546	5.394	5.766	5.700	5.566	5.198	5.909	5.417	5.029	5.505	5.120	4.813