MRCI's ScenarioSM Study

ScenarioSM Study for May Natural Gas(NYM) as of Jan 01, 2009
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	Mar
Tested Years		16	18	18	18	18	18	18	18	18	18	18
Closed Higher		10	9	12	10	11	7	6	6	9	12	15
Exceeded High		8	5	11	7	8	3	5	6	9	10	14
Scenario Percentage		80%	56%	92%	70%	73%	43%	83%	100%	100%	83%	93%
Avg Max Increase		6.46%	11.43%	12.68%	10.31%	7.89%	12.07%	19.52%	24.80%	19.75%	21.73%	10.80%
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		21	17	20	19	17	16	17	19	20	13	15
Avg Max Decline		-1.83%	-2.73%	-2.04%	-1.86%	-4.23%	-1.62%	-1.95%	-1.63%	-4.07%	-3.97%	-4.19%
Max Decline		-4.89%	-7.32%	-6.85%	-5.03%	-13.36%	-3.62%	-4.42%	-6.21%	-7.50%	-8.72%	-8.03%
Avg Days to Max Decline		10	16	10	4	13	2	3	5	9	8	4
2008 Contract Condition		Yes		Yes		Yes	Yes		Yes	Yes	Yes	Yes
Action		Yes		Yes		Yes	Yes		Yes	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	Mar
Tested Years		16	18	18	18	18	18	18	18	18	18	18
Closed Lower		6	9	6	8	6	11	12	12	9	6	3
Penetrated Low		3	6	4	7	5	8	10	10	6	4	2
Scenario Percentage		50%	67%	67%	88%	83%	73%	83%	83%	67%	67%	67%
Avg Max Decline		6.07%	6.85%	5.40%	5.50%	5.64%	11.04%	11.95%	12.84%	10.77%	4.74%	3.87%
Max Decline		12.45%	12.50%	8.21%	15.05%	9.47%	16.84%	22.83%	34.01%	29.94%	6.32%	3.88%
Avg Days To Max Decline		22	19	16	14	27	21	17	16	15	16	15
Avg Max Increase		-8.60%	-3.24%	-1.87%	-2.64%	-6.92%	-1.43%	-2.98%	-2.44%	-5.80%	-6.79%	-6.96%
Max Increase		-13.25%	-12.65%	-3.75%	-6.61%	-20.13%	-3.01%	-9.12%	-16.97%	-13.73%	-11.73%	-11.84%
Avg Days to Max Increase		15	20	4	10	21	7	8	6	4	14	5
2008 Contract Condition			Yes		Yes			Yes
Action			Yes		Yes			Yes
High	8.270	8.469	8.550	8.127	8.166	7.696	8.164	8.318	7.639	8.332	9.529	10.365
Low	7.816	7.980	7.725	7.531	7.240	7.190	7.394	7.260	7.100	7.591	7.700	8.750
Close/Last	8.219	8.309	7.848	7.969	7.270	7.605	8.139	7.269	7.613	8.125	9.417	10.101