MRCI's ScenarioSM Study

ScenarioSM Study for May 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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		18	20	20	20	20	20	20	20	20	20	20
Closed Higher		12	10	12	10	12	7	6	7	9	12	15
Exceeded High		10	6	11	7	9	3	5	7	9	10	14
Scenario Percentage		83%	60%	92%	70%	75%	43%	83%	100%	100%	83%	93%
Avg Max Increase		7.43%	9.82%	12.68%	10.31%	7.50%	12.07%	19.52%	22.31%	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	17	20	13	15
Avg Max Decline		-1.51%	-2.33%	-2.04%	-1.86%	-4.40%	-1.62%	-1.95%	-1.27%	-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	12	2	3	5	9	8	4
2010 Contract Condition		Yes				Yes			Yes
Action		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		18	20	20	20	20	20	20	20	20	20	20
Closed Lower		6	10	8	10	7	13	14	13	11	8	5
Penetrated Low		3	7	6	9	6	10	12	11	8	6	4
Scenario Percentage		50%	70%	75%	90%	86%	77%	86%	85%	73%	75%	80%
Avg Max Decline		6.07%	7.13%	8.80%	7.63%	7.87%	12.59%	13.31%	14.48%	13.84%	11.19%	6.43%
Max Decline		12.45%	12.50%	17.78%	22.61%	19.01%	22.58%	31.56%	34.01%	29.94%	26.25%	16.45%
Avg Days To Max Decline		22	18	16	15	27	19	17	17	19	15	14
Avg Max Increase		-8.60%	-2.91%	-2.69%	-2.13%	-6.41%	-1.68%	-2.63%	-3.04%	-6.78%	-6.56%	-6.19%
Max Increase		-13.25%	-12.65%	-5.64%	-6.61%	-20.13%	-6.09%	-9.12%	-16.97%	-13.73%	-11.73%	-11.84%
Avg Days to Max Increase		15	17	3	8	18	6	7	6	5	12	3
2010 Contract Condition			Yes	Yes	Yes		Yes	Yes		Yes	Yes	Yes
Action			Yes	Yes	Yes		Yes	Yes		Yes	Yes	Yes
High	5.785	6.230	6.300	5.798	5.941	5.976	6.200	5.440	5.953	5.956	5.683	4.931
Low	5.395	5.463	5.705	5.240	5.250	4.869	5.402	4.805	4.656	5.110	4.803	3.847
Close/Last	5.441	5.816	5.745	5.624	5.268	5.944	5.482	5.094	5.545	5.171	4.879	3.869