|
MRCI's ScenarioSM Study |
ScenarioSM Study for August Natural Gas(NYM) as of Apr 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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Tested Years |
|
20 |
20 |
20 |
20 |
20 |
20 |
20 |
20 |
20 |
21 |
21 |
Closed Higher |
|
10 |
13 |
7 |
5 |
7 |
10 |
13 |
14 |
11 |
11 |
9 |
Exceeded High |
|
8 |
9 |
4 |
4 |
5 |
10 |
12 |
14 |
10 |
7 |
3 |
Scenario Percentage |
|
80% |
69% |
57% |
80% |
71% |
100% |
92% |
100% |
91% |
64% |
33% |
Avg Max Increase |
|
9.88% |
7.30% |
7.13% |
11.53% |
20.19% |
15.77% |
18.00% |
16.94% |
17.70% |
14.82% |
9.69% |
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 |
17 |
13 |
16 |
20 |
23 |
17 |
18 |
14 |
18 |
13 |
Avg Max Decline |
|
-2.19% |
-4.18% |
-0.93% |
-2.32% |
-0.50% |
-3.05% |
-2.85% |
-3.80% |
-4.06% |
-5.46% |
-4.61% |
Max Decline |
|
-4.89% |
-13.01% |
-2.65% |
-4.16% |
-4.20% |
-4.76% |
-6.66% |
-7.31% |
-11.03% |
-12.50% |
-12.28% |
Avg Days to Max Decline |
|
8 |
8 |
2 |
12 |
8 |
11 |
9 |
11 |
7 |
12 |
5 |
2011 Contract Condition |
|
|
|
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Action |
|
|
|
|
|
Yes |
No |
|
Yes |
Yes |
|
|
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 |
Jun |
Tested Years |
|
20 |
20 |
20 |
20 |
20 |
20 |
20 |
20 |
20 |
21 |
21 |
Closed Lower |
|
10 |
7 |
13 |
15 |
13 |
10 |
7 |
6 |
9 |
10 |
12 |
Penetrated Low |
|
9 |
6 |
10 |
13 |
10 |
7 |
5 |
6 |
7 |
9 |
10 |
Scenario Percentage |
|
90% |
86% |
77% |
87% |
77% |
70% |
71% |
100% |
78% |
90% |
83% |
Avg Max Decline |
|
7.23% |
6.88% |
10.69% |
10.60% |
9.85% |
12.67% |
10.71% |
11.27% |
16.23% |
17.42% |
10.68% |
Max Decline |
|
21.05% |
17.97% |
21.26% |
29.97% |
28.66% |
25.57% |
23.91% |
27.18% |
36.75% |
28.58% |
15.91% |
Avg Days To Max Decline |
|
14 |
24 |
18 |
13 |
17 |
19 |
22 |
19 |
22 |
19 |
17 |
Avg Max Increase |
|
-1.82% |
-3.38% |
-1.37% |
-1.98% |
-2.22% |
-5.68% |
-5.97% |
-5.00% |
-5.11% |
-9.00% |
-2.99% |
Max Increase |
|
-6.55% |
-5.04% |
-5.89% |
-7.11% |
-11.65% |
-11.28% |
-21.80% |
-11.46% |
-10.17% |
-14.97% |
-11.11% |
Avg Days to Max Increase |
|
11 |
14 |
5 |
7 |
5 |
11 |
17 |
12 |
10 |
11 |
5 |
2011 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
|
|
Yes |
|
|
|
|
Action |
|
Yes |
Yes |
No |
No |
|
|
Yes |
|
|
|
|
High |
5.325 |
5.184 |
4.710 |
4.528 |
4.556 |
4.667 |
4.896 |
4.663 |
4.719 |
4.809 |
4.841 |
|
Low |
5.050 |
4.554 |
4.374 |
4.060 |
4.095 |
4.194 |
4.445 |
4.053 |
3.994 |
4.193 |
4.750 |
|
Close/Last |
5.187 |
4.703 |
4.435 |
4.368 |
4.334 |
4.579 |
4.588 |
4.264 |
4.566 |
4.802 |
4.807 |
|
|
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