MRCI's ScenarioSM Study

ScenarioSM Study for July Natural Gas(NYM) as of Dec 31, 2010
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		19	20	20	20	20	20	20	20	20	20	21
Closed Higher		11	10	11	6	5	8	10	12	14	11	11
Exceeded High		9	8	8	4	4	6	10	10	14	10	7
Scenario Percentage		82%	80%	73%	67%	80%	75%	100%	83%	100%	91%	64%
Avg Max Increase		14.06%	9.42%	7.67%	7.21%	12.29%	20.55%	16.54%	21.20%	17.23%	17.02%	9.95%
Max Increase		40.16%	22.45%	15.07%	13.68%	26.86%	45.30%	32.40%	51.42%	53.57%	49.30%	19.70%
Avg Days To Max Increase		20	18	18	13	14	20	24	18	18	13	13
Avg Max Decline		-2.29%	-2.21%	-4.25%	-0.96%	-4.23%	-0.81%	-3.32%	-3.01%	-4.65%	-4.64%	-3.10%
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	8	2	16	8	9	9	11	7	2
2010 Contract Condition				Yes			Yes					Yes
Action				Yes			No					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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		19	20	20	20	20	20	20	20	20	20	21
Closed Lower		8	10	7	13	15	12	10	7	6	9	10
Penetrated Low		7	10	6	9	12	10	7	4	6	7	8
Scenario Percentage		88%	100%	86%	69%	80%	83%	70%	57%	100%	78%	80%
Avg Max Decline		7.64%	6.70%	7.26%	11.79%	11.81%	10.55%	13.32%	14.23%	12.38%	14.35%	11.47%
Max Decline		16.71%	21.80%	18.48%	21.82%	30.46%	28.87%	26.72%	25.30%	28.35%	34.31%	20.03%
Avg Days To Max Decline		19	14	28	18	14	19	22	26	19	17	18
Avg Max Increase		-2.40%	-1.40%	-6.14%	-1.42%	-2.27%	-2.66%	-6.09%	-7.24%	-5.60%	-4.47%	-4.70%
Max Increase		-5.10%	-3.76%	-19.21%	-5.86%	-7.26%	-12.14%	-11.88%	-20.94%	-11.42%	-10.19%	-13.44%
Avg Days to Max Increase		4	13	18	3	7	6	7	20	10	7	6
2010 Contract Condition		Yes	Yes		Yes	Yes		Yes	Yes	Yes	Yes
Action		Yes	Yes		Yes	Yes		Yes	Yes	Yes	Yes
High	6.491	6.017	6.143	6.120	6.330	5.645	6.075	6.050	5.810	5.085	4.548	4.587
Low	5.950	5.450	5.492	5.120	5.598	5.020	4.848	5.265	4.967	4.035	4.018	3.971
Close/Last	5.956	5.845	5.510	6.099	5.680	5.282	5.695	5.322	5.043	4.082	4.050	4.341