MRCI's ScenarioSM Study

ScenarioSM Study for July 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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	16	17	17	17	17	17	17	17	17	17	18
Closed Higher	10	10	9	5	5	6	9	11	13	10	8
Exceeded High	9	8	6	3	4	5	9	9	13	9	5
Scenario Percentage	90%	80%	67%	60%	80%	83%	100%	82%	100%	90%	62%
Avg Max Increase	14.06%	9.42%	8.13%	8.98%	12.29%	19.96%	15.35%	21.25%	17.10%	16.07%	6.60%
Max Increase	40.16%	22.45%	15.07%	13.68%	26.86%	45.30%	32.40%	51.42%	53.57%	45.35%	12.22%
Avg Days To Max Increase	20	18	20	17	14	19	25	17	17	12	11
Avg Max Decline	-2.29%	-2.21%	-4.40%	-1.09%	-4.23%	-0.88%	-3.16%	-2.59%	-4.44%	-4.79%	-3.65%
Max Decline	-6.37%	-4.34%	-12.87%	-2.81%	-11.21%	-5.20%	-6.30%	-7.01%	-8.29%	-14.73%	-12.76%
Avg Days to Max Decline	11	8	7	2	16	5	9	8	12	7	2
2007 Contract Condition	Yes			Yes	Yes		Yes		Yes	Yes
Action	Yes			Yes	No		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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	16	17	17	17	17	17	17	17	17	17	18
Closed Lower	6	7	6	11	12	11	8	5	4	7	10
Penetrated Low	5	7	5	7	9	9	5	2	4	6	10
Scenario Percentage	83%	100%	83%	64%	75%	82%	62%	40%	100%	86%	100%
Avg Max Decline	4.87%	5.34%	5.02%	9.95%	11.23%	8.51%	10.12%	5.64%	13.79%	15.50%	18.86%
Max Decline	7.93%	14.52%	8.57%	14.72%	19.56%	15.02%	26.72%	6.43%	28.35%	28.86%	41.75%
Avg Days To Max Decline	20	15	28	20	15	18	19	23	20	18	18
Avg Max Increase	-1.79%	-2.04%	-6.68%	-1.07%	-2.89%	-2.05%	-4.78%	-12.12%	-4.64%	-4.27%	-8.57%
Max Increase	-3.24%	-3.76%	-19.21%	-2.09%	-7.26%	-12.14%	-11.88%	-20.94%	-11.28%	-10.19%	-24.08%
Avg Days to Max Increase	5	14	21	4	9	6	7	28	7	8	9
2007 Contract Condition		Yes	Yes			Yes		Yes			Yes
Action		Yes	No			Yes		Yes			Yes
High	8.846	9.093	8.530	8.090	8.426	8.350	8.026	8.183	8.116	8.281	8.400
Low	8.020	8.290	7.170	7.360	7.590	6.660	6.626	7.446	7.245	7.550	7.620
Close/Last	8.846	8.388	7.388	7.619	8.426	6.928	7.841	7.614	8.011	8.016	7.935