MRCI's ScenarioSM Study

ScenarioSM Study for August Natural Gas(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years	17	17	17	17	17	17	17	17	17	18	18
Closed Higher	10	11	6	5	5	9	12	13	10	8	7
Exceeded High	8	7	3	4	4	9	11	13	9	5	2
Scenario Percentage	80%	64%	50%	80%	80%	100%	92%	100%	90%	62%	29%
Avg Max Increase	9.88%	7.62%	8.91%	11.53%	19.56%	14.52%	17.76%	16.77%	17.25%	13.71%	13.26%
Max Increase	23.34%	15.36%	13.57%	26.45%	41.51%	29.66%	48.98%	52.12%	47.41%	23.43%	18.75%
Avg Days To Max Increase	20	19	17	16	18	25	16	17	13	21	19
Avg Max Decline	-2.19%	-4.38%	-1.10%	-2.32%	-0.52%	-2.89%	-2.51%	-3.54%	-4.18%	-6.97%	-6.37%
Max Decline	-4.89%	-13.01%	-2.65%	-4.16%	-4.20%	-4.76%	-6.53%	-6.38%	-11.03%	-12.50%	-12.28%
Avg Days to Max Decline	8	6	2	12	4	11	8	12	8	16	6
2007 Contract Condition			Yes	Yes		Yes		Yes	Yes
Action			Yes	No		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	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years	17	17	17	17	17	17	17	17	17	18	18
Closed Lower	7	6	11	12	12	8	5	4	7	10	11
Penetrated Low	7	5	8	10	9	5	3	4	6	9	9
Scenario Percentage	100%	83%	73%	83%	75%	62%	60%	100%	86%	90%	82%
Avg Max Decline	5.28%	4.66%	8.88%	9.76%	7.76%	9.42%	3.43%	12.49%	18.60%	17.42%	20.75%
Max Decline	14.60%	8.58%	14.41%	18.52%	14.30%	25.57%	4.63%	27.18%	36.75%	28.58%	42.32%
Avg Days To Max Decline	13	23	20	14	16	14	16	20	24	19	18
Avg Max Increase	-2.37%	-3.38%	-1.06%	-2.46%	-1.57%	-4.42%	-8.35%	-4.21%	-5.26%	-9.00%	-3.55%
Max Increase	-6.55%	-5.04%	-2.03%	-7.11%	-11.65%	-11.28%	-21.80%	-11.46%	-10.17%	-14.97%	-11.11%
Avg Days to Max Increase	13	16	6	8	5	13	20	9	11	11	8
2007 Contract Condition	Yes	Yes			Yes		Yes			Yes	Yes
Action	Yes	No			Yes		Yes			Yes	Yes
High	9.164	8.620	8.173	8.491	8.380	8.060	8.250	8.216	8.373	8.520	8.342
Low	8.370	7.240	7.380	7.642	6.769	6.731	7.565	7.350	7.704	7.770	6.551
Close/Last	8.478	7.453	7.685	8.491	7.038	7.911	7.707	8.109	8.136	8.057	6.773