MRCI's ScenarioSM Study

ScenarioSM Study for May Natural Gas(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	15	17	17	17	17	17	17	17	17	17	17
Closed Higher	9	9	11	10	10	6	6	5	8	11	14
Exceeded High	7	5	10	7	7	2	5	5	8	9	13
Scenario Percentage	78%	56%	91%	70%	70%	33%	83%	100%	100%	82%	93%
Avg Max Increase	6.97%	11.43%	13.70%	10.31%	7.68%	17.01%	19.52%	24.72%	18.78%	22.31%	10.45%
Max Increase	16.77%	27.44%	41.31%	23.54%	14.89%	22.06%	31.67%	62.43%	43.11%	54.87%	35.33%
Avg Days To Max Increase	22	17	20	19	19	23	17	17	21	12	14
Avg Max Decline	-1.95%	-2.73%	-1.90%	-1.86%	-4.43%	-2.09%	-1.95%	-1.89%	-3.92%	-3.55%	-3.89%
Max Decline	-4.89%	-7.32%	-6.85%	-5.03%	-13.36%	-3.62%	-4.42%	-6.21%	-7.50%	-8.72%	-7.77%
Avg Days to Max Decline	10	16	11	4	12	3	3	5	10	7	4
2007 Contract Condition		Yes	Yes			Yes	Yes		Yes		Yes
Action		Yes	Yes			Yes	No		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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	15	17	17	17	17	17	17	17	17	17	17
Closed Lower	6	8	6	7	6	11	11	12	9	6	3
Penetrated Low	3	5	4	6	5	8	9	10	6	4	3
Scenario Percentage	50%	62%	67%	86%	83%	73%	82%	83%	67%	67%	100%
Avg Max Decline	6.07%	6.67%	5.40%	6.23%	5.64%	11.04%	13.02%	12.84%	10.77%	4.74%	35.67%
Max Decline	12.45%	12.50%	8.21%	15.05%	9.47%	16.84%	22.83%	34.01%	29.94%	6.32%	57.41%
Avg Days To Max Decline	22	18	16	15	27	21	19	16	15	16	1
Avg Max Increase	-8.60%	-3.08%	-1.87%	-2.61%	-6.92%	-1.43%	-3.31%	-2.44%	-5.80%	-6.79%	-11.11%
Max Increase	-13.25%	-12.65%	-3.75%	-6.61%	-20.13%	-3.01%	-9.12%	-16.97%	-13.73%	-11.73%	-15.22%
Avg Days to Max Increase	15	15	4	11	21	7	9	6	4	14	15
2007 Contract Condition	Yes			Yes	Yes			Yes		Yes
Action	No			Yes	No			No		Yes
High	9.338	8.560	8.666	8.923	8.400	7.980	8.319	8.220	7.900	8.032	7.830
Low	7.850	7.896	7.920	8.020	6.960	7.156	7.390	6.412	6.415	7.222	6.937
Close/Last	8.001	8.184	8.666	8.193	7.203	7.431	8.284	6.703	7.690	7.405	7.730