MRCI's ScenarioSM Study

ScenarioSM Study for May 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years	17	19	19	19	19	19	19	19	19	19	19
Closed Higher	11	10	12	10	11	7	6	6	9	12	15
Exceeded High	9	6	11	7	8	3	5	6	9	10	14
Scenario Percentage	82%	60%	92%	70%	73%	43%	83%	100%	100%	83%	93%
Avg Max Increase	7.33%	9.82%	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	19	14	20	19	17	16	17	19	20	13	15
Avg Max Decline	-1.54%	-2.33%	-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	9	14	10	4	13	2	3	5	9	8	4
2009 Contract Condition	Yes	Yes
Action	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	17	19	19	19	19	19	19	19	19	19	19
Closed Lower	6	9	7	9	7	12	13	13	10	7	4
Penetrated Low	3	6	5	8	6	9	11	11	7	5	4
Scenario Percentage	50%	67%	71%	89%	86%	75%	85%	85%	70%	71%	100%
Avg Max Decline	6.07%	6.85%	7.87%	7.64%	7.87%	12.32%	13.74%	14.48%	12.16%	9.04%	30.86%
Max Decline	12.45%	12.50%	17.78%	22.61%	19.01%	22.58%	31.56%	34.01%	29.94%	26.25%	57.41%
Avg Days To Max Decline	22	19	19	16	27	21	18	17	17	18	7
Avg Max Increase	-8.60%	-3.24%	-2.10%	-2.40%	-6.41%	-1.95%	-2.85%	-3.04%	-6.33%	-7.66%	-9.18%
Max Increase	-13.25%	-12.65%	-3.75%	-6.61%	-20.13%	-6.09%	-9.12%	-16.97%	-13.73%	-11.73%	-15.22%
Avg Days to Max Increase	15	20	3	9	18	6	8	6	4	15	11
2009 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action			Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
High	10.730	11.650	11.817	9.580	8.591	8.130	7.475	6.678	6.320	5.010	4.754
Low	9.415	10.416	9.000	8.412	7.646	6.600	6.340	5.455	4.500	4.005	3.634
Close/Last	10.337	11.610	9.299	8.528	7.828	7.046	6.575	5.795	4.574	4.278	3.776