MRCI's ScenarioSM Study

ScenarioSM Study for July Natural Gas(NYM) as of Dec 30, 2011
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		20	21	21	21	21	21	21	21	21	21	22
Closed Higher		11	10	11	6	5	9	11	12	15	12	11
Exceeded High		9	8	8	4	4	7	10	10	15	11	7
Scenario Percentage		82%	80%	73%	67%	80%	78%	91%	83%	100%	92%	64%
Avg Max Increase		14.06%	9.42%	7.67%	7.21%	12.29%	18.84%	16.54%	21.20%	16.47%	15.89%	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	21	24	18	17	13	13
Avg Max Decline		-2.29%	-2.21%	-4.25%	-0.96%	-4.23%	-1.05%	-3.32%	-3.01%	-4.91%	-5.41%	-3.10%
Max Decline		-6.37%	-4.34%	-12.87%	-2.81%	-11.21%	-5.20%	-6.30%	-7.01%	-8.65%	-14.73%	-12.76%
Avg Days to Max Decline		11	8	8	2	16	8	9	9	11	8	2
2011 Contract Condition							Yes	Yes		Yes	Yes
Action							Yes	No		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		20	21	21	21	21	21	21	21	21	21	22
Closed Lower		9	11	8	14	16	12	10	8	6	9	11
Penetrated Low		8	11	7	9	12	10	7	5	6	7	8
Scenario Percentage		89%	100%	88%	64%	75%	83%	70%	63%	100%	78%	73%
Avg Max Decline		8.67%	7.35%	7.45%	11.79%	11.81%	10.55%	13.32%	12.70%	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		20	15	27	18	14	19	22	22	19	17	18
Avg Max Increase		-2.08%	-1.30%	-5.55%	-1.42%	-2.27%	-2.66%	-6.09%	-5.82%	-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	16	3	7	6	7	16	10	7	6
2011 Contract Condition		Yes	Yes	Yes	Yes	Yes			Yes			Yes
Action		Yes	Yes	Yes	No	No			Yes			Not Yet
High	5.485	5.322	5.138	4.664	4.476	4.515	4.657	4.930	4.641	4.690	4.766	4.798
Low	5.161	5.008	4.496	4.327	4.010	4.043	4.147	4.426	4.023	3.955	4.141	4.140
Close/Last	5.213	5.147	4.651	4.387	4.321	4.290	4.541	4.562	4.235	4.533	4.761	4.666