MRCI's ScenarioSM Study

ScenarioSM Study for May 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	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar
Tested Years		19	21	21	21	21	21	21	21	21	21	21
Closed Higher		13	10	12	10	12	7	6	8	10	12	16
Exceeded High		10	6	11	7	9	3	5	8	9	10	14
Scenario Percentage		77%	60%	92%	70%	75%	43%	83%	100%	90%	83%	88%
Avg Max Increase		7.43%	9.82%	12.68%	10.31%	7.50%	12.07%	19.52%	20.62%	19.75%	21.73%	10.66%
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	18	20	13	15
Avg Max Decline		-1.51%	-2.33%	-2.04%	-1.86%	-4.40%	-1.62%	-1.95%	-1.43%	-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
2011 Contract Condition		Yes							Yes	Yes		Yes
Action		No							Yes	No		Not Yet

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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		19	21	21	21	21	21	21	21	21	21	21
Closed Lower		6	11	9	11	8	14	15	13	11	9	5
Penetrated Low		3	8	7	10	7	10	12	11	8	7	4
Scenario Percentage		50%	73%	78%	91%	88%	71%	80%	85%	73%	78%	80%
Avg Max Decline		6.07%	8.07%	10.00%	8.29%	8.00%	12.59%	13.31%	14.48%	13.84%	10.30%	5.73%
Max Decline		12.45%	14.66%	17.78%	22.61%	19.01%	22.58%	31.56%	34.01%	29.94%	23.80%	13.67%
Avg Days To Max Decline		22	20	18	16	27	19	17	17	19	13	13
Avg Max Increase		-8.60%	-2.77%	-2.28%	-1.95%	-5.78%	-1.68%	-2.63%	-3.04%	-6.78%	-5.66%	-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	15	3	8	16	6	7	6	5	11	3
2011 Contract Condition			Yes	Yes	Yes	Yes	Yes	Yes			Yes
Action			Yes	Yes	Yes	Yes	No	No			Yes
High	5.396	5.495	5.410	5.186	5.060	4.541	4.341	4.424	4.559	4.822	4.543	4.559
Low	4.991	4.970	5.045	4.902	4.350	4.195	3.882	3.919	4.020	4.321	3.894	3.805
Close/Last	5.112	5.172	5.097	5.069	4.525	4.255	4.210	4.174	4.434	4.470	4.110	4.389