MRCI's ScenarioSM Study

ScenarioSM Study for June 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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		17	18	18	18	18	18	18	18	18	18	18
Closed Higher		8	12	10	10	5	5	7	9	11	14	8
Exceeded High		3	10	8	7	3	4	6	9	9	14	6
Scenario Percentage		38%	83%	80%	70%	60%	80%	86%	100%	82%	100%	75%
Avg Max Increase		13.46%	13.46%	9.37%	8.39%	9.94%	13.84%	21.59%	18.00%	23.86%	17.55%	18.93%
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	18	16	14	19	21	17	18	18
Avg Max Decline		-1.99%	-2.10%	-2.21%	-4.06%	-1.42%	-3.77%	-1.31%	-3.27%	-3.45%	-4.60%	-3.56%
Max Decline		-3.16%	-6.78%	-4.34%	-13.06%	-2.96%	-10.51%	-5.56%	-6.29%	-8.24%	-7.68%	-8.56%
Avg Days to Max Decline		15	10	8	9	2	22	8	9	7	7	2
2008 Contract Condition			Yes		Yes	Yes		Yes	Yes	Yes	Yes	Yes
Action			No		Yes	Yes		Yes	Yes	Yes	Yes	Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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	Apr
Tested Years		17	18	18	18	18	18	18	18	18	18	18
Closed Lower		9	6	8	8	13	13	11	9	7	4	10
Penetrated Low		6	4	7	7	10	10	10	7	5	4	8
Scenario Percentage		67%	67%	88%	88%	77%	77%	91%	78%	71%	100%	80%
Avg Max Decline		6.77%	5.40%	5.30%	5.79%	9.98%	11.03%	8.77%	8.76%	5.09%	11.29%	8.59%
Max Decline		12.48%	8.08%	14.69%	9.00%	15.87%	20.85%	15.95%	28.30%	8.27%	22.12%	15.87%
Avg Days To Max Decline		16	16	15	24	19	16	14	12	21	17	18
Avg Max Increase		-3.27%	-1.79%	-2.43%	-5.54%	-1.21%	-2.63%	-2.28%	-4.28%	-5.53%	-5.10%	-2.64%
Max Increase		-12.48%	-3.50%	-7.18%	-19.06%	-2.68%	-8.25%	-15.44%	-11.97%	-20.14%	-11.59%	-8.82%
Avg Days to Max Increase		18	4	9	18	5	8	8	5	28	7	4
2008 Contract Condition		Yes		Yes			Yes
Action		Yes		Yes			Yes
High	8.482	8.650	8.270	8.240	7.815	8.215	8.376	7.735	8.399	9.573	10.431	11.465
Low	8.200	7.836	7.609	7.314	7.294	7.484	7.355	7.210	7.684	7.800	8.842	9.395
Close/Last	8.395	7.933	8.064	7.355	7.678	8.204	7.363	7.703	8.203	9.477	10.177	10.843