MRCI's ScenarioSM Study

ScenarioSM Study for July 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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		17	18	18	18	18	18	18	18	18	18	19
Closed Higher		11	10	10	6	5	7	10	12	14	11	9
Exceeded High		9	8	7	4	4	6	10	10	14	10	6
Scenario Percentage		82%	80%	70%	67%	80%	86%	100%	83%	100%	91%	67%
Avg Max Increase		14.06%	9.42%	8.22%	7.21%	12.29%	20.55%	16.54%	21.20%	17.23%	16.62%	7.85%
Max Increase		40.16%	22.45%	15.07%	13.68%	26.86%	45.30%	32.40%	51.42%	53.57%	45.35%	14.07%
Avg Days To Max Increase		20	18	18	13	14	20	24	18	18	13	12
Avg Max Decline		-2.29%	-2.21%	-4.12%	-0.96%	-4.23%	-0.81%	-3.32%	-3.01%	-4.65%	-4.64%	-3.14%
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	9	2	16	8	9	9	11	7	2
2008 Contract Condition		Yes		Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes
Action		No		Yes	Yes		Yes	Yes	Yes	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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		17	18	18	18	18	18	18	18	18	18	19
Closed Lower		6	8	6	11	13	11	8	5	4	7	10
Penetrated Low		5	8	5	7	10	9	5	2	4	6	8
Scenario Percentage		83%	100%	83%	64%	77%	82%	63%	40%	100%	86%	80%
Avg Max Decline		4.87%	4.77%	5.02%	9.95%	10.31%	8.51%	10.12%	5.64%	13.79%	15.36%	10.24%
Max Decline		7.93%	14.52%	8.57%	14.72%	19.56%	15.02%	26.72%	6.43%	28.35%	28.02%	14.06%
Avg Days To Max Decline		20	13	28	20	14	18	19	23	20	18	17
Avg Max Increase		-1.79%	-1.95%	-6.68%	-1.07%	-2.59%	-2.05%	-4.78%	-12.12%	-4.64%	-4.27%	-4.70%
Max Increase		-3.24%	-3.76%	-19.21%	-2.09%	-7.26%	-12.14%	-11.88%	-20.94%	-11.28%	-10.19%	-13.44%
Avg Days to Max Increase		5	13	21	4	9	6	7	28	7	8	6
2008 Contract Condition			Yes			Yes
Action			Yes			Yes
High	8.730	8.302	8.300	7.870	8.292	8.444	7.805	8.465	9.629	10.535	11.582	12.209
Low	7.950	7.720	7.394	7.388	7.574	7.450	7.310	7.760	7.888	8.940	9.500	10.620
Close/Last	8.033	8.167	7.448	7.763	8.286	7.462	7.796	8.281	9.545	10.258	10.979	11.703