MRCI's ScenarioSM Study

ScenarioSM Study for June 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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	16	17	17	17	17	17	17	17	17	17	17
Closed Higher	8	11	10	9	4	5	6	8	10	13	7
Exceeded High	3	10	8	6	2	4	5	8	8	13	5
Scenario Percentage	38%	91%	80%	67%	50%	80%	83%	100%	80%	100%	71%
Avg Max Increase	13.46%	13.46%	9.37%	8.28%	13.86%	13.84%	21.06%	16.86%	24.30%	17.56%	20.42%
Max Increase	27.75%	40.81%	22.49%	14.62%	16.75%	26.34%	49.02%	34.72%	54.16%	52.28%	43.27%
Avg Days To Max Increase	12	20	18	21	23	14	17	22	15	18	16
Avg Max Decline	-1.99%	-2.10%	-2.21%	-4.31%	-1.80%	-3.77%	-1.52%	-3.07%	-2.97%	-4.64%	-3.61%
Max Decline	-3.16%	-6.78%	-4.34%	-13.06%	-2.96%	-10.51%	-5.56%	-6.29%	-8.24%	-7.67%	-8.56%
Avg Days to Max Decline	15	10	8	7	3	22	5	10	6	10	3
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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	16	17	17	17	17	17	17	17	17	17	17
Closed Lower	8	6	7	8	13	12	11	9	7	4	10
Penetrated Low	5	4	6	7	10	9	10	7	5	4	10
Scenario Percentage	62%	67%	86%	88%	77%	75%	91%	78%	71%	100%	100%
Avg Max Decline	6.56%	5.40%	6.04%	5.79%	9.98%	12.03%	8.77%	8.76%	5.09%	11.29%	21.35%
Max Decline	12.48%	8.08%	14.69%	9.00%	15.87%	20.85%	15.95%	28.30%	8.27%	22.12%	52.18%
Avg Days To Max Decline	14	16	17	24	19	17	14	12	21	17	9
Avg Max Increase	-3.07%	-1.79%	-2.51%	-5.54%	-1.21%	-2.93%	-2.28%	-4.28%	-5.53%	-5.10%	-4.95%
Max Increase	-12.48%	-3.50%	-7.18%	-19.06%	-2.68%	-8.25%	-15.44%	-11.97%	-20.14%	-11.59%	-15.32%
Avg Days to Max Increase	15	4	10	18	5	9	8	5	28	7	10
2007 Contract Condition			Yes	Yes			Yes		Yes		Yes
Action			Yes	No			Yes		Yes		Not Yet
High	8.655	8.750	9.003	8.450	8.009	8.344	8.235	7.961	8.086	7.970	8.140
Low	7.950	8.017	8.187	7.066	7.190	7.470	6.536	6.521	7.334	7.089	7.387
Close/Last	8.279	8.746	8.283	7.293	7.519	8.344	6.813	7.766	7.507	7.870	7.863