MRCI's ScenarioSM Study

ScenarioSM Study for April 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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		19	21	21	21	21	21	21	21	21	21	21
Closed Higher		12	14	10	11	10	13	7	5	8	10	11
Exceeded High		9	10	6	9	8	10	3	4	7	9	9
Scenario Percentage		75%	71%	60%	82%	80%	77%	43%	80%	88%	90%	82%
Avg Max Increase		12.79%	6.43%	9.82%	12.55%	10.06%	8.30%	15.55%	29.33%	27.65%	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		-1.28%	-1.72%	-1.71%	-2.44%	-2.44%	-4.45%	-2.48%	-2.39%	-2.96%	-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
2011 Contract Condition		Yes	Yes							Yes	Yes
Action		Yes	No							Yes	Not Yet

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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		19	21	21	21	21	21	21	21	21	21	21
Closed Lower		6	7	11	10	11	8	14	16	13	11	10
Penetrated Low		3	2	7	7	10	7	11	13	11	10	8
Scenario Percentage		50%	29%	64%	70%	91%	88%	79%	81%	85%	91%	80%
Avg Max Decline		3.50%	9.57%	8.78%	10.60%	8.79%	9.41%	12.35%	15.07%	16.56%	12.59%	9.26%
Max Decline		5.13%	14.17%	14.58%	19.01%	23.69%	19.10%	23.08%	32.14%	36.48%	31.64%	19.74%
Avg Days To Max Decline		19	21	21	15	13	27	19	17	18	20	18
Avg Max Increase		-2.09%	-11.61%	-3.78%	-2.52%	-1.98%	-6.16%	-1.97%	-3.86%	-3.80%	-7.76%	-3.72%
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	15	2	8	13	3	6	5	7	5
2011 Contract Condition				Yes	Yes	Yes	Yes	Yes	Yes			Yes
Action				Yes	Yes	Yes	Yes	No	No			Yes
High	5.625	5.402	5.484	5.393	5.213	5.116	4.530	4.315	4.408	4.557	4.800	4.507
Low	4.938	4.974	4.940	5.018	4.882	4.337	4.159	3.848	3.879	3.980	4.274	3.822
Close/Last	5.080	5.092	5.151	5.077	5.058	4.500	4.220	4.184	4.142	4.401	4.431	4.037