MRCI's ScenarioSM Study

ScenarioSM Study for July Natural Gas(NYM) as of Jan 01, 2010
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	18	19	19	19	19	19	19	19	19	19	20
Closed Higher	11	10	10	6	5	7	10	12	14	11	10
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%	60%
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
2009 Contract Condition											Yes
Action											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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years	18	19	19	19	19	19	19	19	19	19	20
Closed Lower	7	9	7	12	14	12	9	6	5	8	10
Penetrated Low	6	9	6	8	11	10	6	3	5	6	10
Scenario Percentage	86%	100%	86%	67%	79%	83%	67%	50%	100%	75%	100%
Avg Max Decline	6.84%	6.66%	7.26%	11.43%	12.14%	10.55%	11.51%	12.19%	14.32%	15.36%	18.81%
Max Decline	16.71%	21.80%	18.48%	21.82%	30.46%	28.87%	26.72%	25.30%	28.35%	28.02%	41.75%
Avg Days To Max Decline	21	15	28	20	15	19	21	25	22	18	15
Avg Max Increase	-1.95%	-1.57%	-6.14%	-1.67%	-2.48%	-2.66%	-5.58%	-9.37%	-4.43%	-4.27%	-8.57%
Max Increase	-3.24%	-3.76%	-19.21%	-5.86%	-7.26%	-12.14%	-11.88%	-20.94%	-11.28%	-10.19%	-24.08%
Avg Days to Max Increase	4	14	18	4	8	6	7	27	6	8	9
2009 Contract Condition	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Not Yet
High	11.981	9.739	8.594	8.352	7.708	6.892	6.521	5.280	4.721	4.207	4.690
Low	9.040	8.600	7.895	6.825	6.583	5.692	4.731	4.290	3.930	3.395	3.500
Close/Last	9.479	8.728	8.075	7.281	6.803	6.031	4.819	4.545	4.061	3.515	3.835