MRCI's ScenarioSM Study

ScenarioSM Study for September Natural Gas(NYM) as of Jan 01, 2010
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years	19	19	19	19	19	19	19	19	20	20	20
Closed Higher	11	7	5	7	10	13	14	11	10	8	8
Exceeded High	7	4	4	6	10	12	14	10	6	6	8
Scenario Percentage	64%	57%	80%	86%	100%	92%	100%	91%	60%	75%	100%
Avg Max Increase	6.72%	6.92%	10.79%	17.87%	15.37%	17.54%	16.38%	16.83%	13.92%	16.32%	14.70%
Max Increase	14.51%	12.72%	25.70%	40.58%	29.66%	48.89%	51.66%	46.20%	20.70%	44.05%	28.45%
Avg Days To Max Increase	16	10	14	20	23	16	18	15	20	16	15
Avg Max Decline	-4.55%	-1.09%	-1.73%	-0.49%	-2.81%	-2.42%	-3.61%	-3.57%	-5.42%	-7.69%	-5.16%
Max Decline	-12.68%	-3.00%	-2.90%	-3.47%	-4.55%	-6.78%	-7.19%	-9.20%	-11.97%	-18.51%	-11.41%
Avg Days to Max Decline	9	2	5	8	12	7	8	7	13	10	4
2009 Contract Condition									Yes
Action									No

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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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul
Tested Years	19	19	19	19	19	19	19	19	20	20	20
Closed Lower	8	12	14	12	8	6	5	8	10	12	12
Penetrated Low	5	9	12	11	5	4	5	6	9	10	12
Scenario Percentage	62%	75%	86%	92%	62%	67%	100%	75%	90%	83%	100%
Avg Max Decline	7.82%	10.06%	10.51%	9.07%	11.45%	7.73%	12.16%	17.35%	17.97%	15.70%	22.04%
Max Decline	17.97%	20.90%	29.50%	28.61%	25.24%	22.92%	25.63%	35.19%	27.88%	31.54%	42.90%
Avg Days To Max Decline	24	18	14	18	25	20	24	24	23	17	20
Avg Max Increase	-2.99%	-1.62%	-2.00%	-2.03%	-5.15%	-7.68%	-3.41%	-4.33%	-8.15%	-4.52%	-9.32%
Max Increase	-4.08%	-5.87%	-6.49%	-10.41%	-10.77%	-23.15%	-11.31%	-10.27%	-14.77%	-13.49%	-28.51%
Avg Days to Max Increase	15	7	7	6	13	19	9	10	14	20	9
2009 Contract Condition	Yes	Yes	Yes	Yes	Yes	Yes	Yes	Yes		Yes	Yes
Action	Yes	Yes	Yes	Yes	Yes	Yes	Yes	No		Yes	Yes
High	8.733	8.463	7.830	7.025	6.665	5.392	4.860	4.272	4.830	4.716	4.045
Low	8.020	6.977	6.718	5.850	4.895	4.412	4.076	3.596	3.717	3.844	3.366
Close/Last	8.190	7.396	6.943	6.180	4.970	4.665	4.220	3.717	4.055	3.982	3.653