MRCI's ScenarioSM Study

ScenarioSM Study for July Natural Gas(NYM) as of Jan 01, 2013
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		21	22	22	22	22	22	22	22	22	22	23
Closed Higher		11	10	11	6	5	9	11	12	15	13	12
Exceeded High		9	8	8	4	4	7	10	10	15	12	7
Scenario Percentage		82%	80%	73%	67%	80%	78%	91%	83%	100%	92%	58%
Avg Max Increase		14.06%	9.42%	7.67%	7.21%	12.29%	18.84%	16.54%	21.20%	16.47%	15.79%	9.54%
Max Increase		40.16%	22.45%	15.07%	13.68%	26.86%	45.30%	32.40%	51.42%	53.57%	45.35%	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%	-5.15%	-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	7	2
2012 Contract Condition											Yes	Yes
Action											Yes	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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May
Tested Years		21	22	22	22	22	22	22	22	22	22	23
Closed Lower		10	12	9	15	17	13	11	9	7	9	11
Penetrated Low		9	12	8	10	13	11	8	6	7	7	8
Scenario Percentage		90%	100%	89%	67%	76%	85%	73%	67%	100%	78%	73%
Avg Max Decline		8.57%	7.78%	8.23%	12.87%	13.18%	11.27%	13.88%	14.68%	12.37%	13.57%	10.49%
Max Decline		16.71%	21.80%	18.48%	22.56%	30.46%	28.87%	26.72%	25.30%	28.35%	28.86%	14.06%
Avg Days To Max Decline		21	15	26	19	14	19	23	22	19	16	18
Avg Max Increase		-1.98%	-1.25%	-4.95%	-1.31%	-2.33%	-2.76%	-6.36%	-5.20%	-5.30%	-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		3	12	14	3	7	6	9	14	9	7	6
2012 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes
High	5.130	4.890	4.617	4.580	4.244	4.159	3.868	3.368	3.104	2.837	2.473	2.838
Low	4.615	4.564	4.320	4.209	3.977	3.637	3.210	2.643	2.740	2.356	2.096	2.338
Close/Last	4.776	4.564	4.547	4.212	4.145	3.755	3.243	2.867	2.852	2.389	2.394	2.422