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MRCI's Scenario Study
MRCI's
Scenario
SM
Study
Scenario
SM
Study for September 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
Aug
Sep
Oct
Nov
Dec
Jan
Feb
Mar
Apr
May
Jun
Jul
Tested Years
20
20
20
20
20
20
20
20
21
21
21
Closed Higher
12
7
5
8
10
13
14
12
11
9
9
Exceeded High
8
4
4
7
10
12
14
11
7
6
9
Scenario Percentage
67%
57%
80%
88%
100%
92%
100%
92%
64%
67%
100%
Avg Max Increase
6.32%
6.92%
10.79%
16.22%
15.37%
17.54%
16.38%
17.60%
14.55%
16.32%
13.26%
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
18
23
16
18
15
19
16
14
Avg Max Decline
-4.56%
-1.09%
-1.73%
-0.29%
-2.81%
-2.42%
-3.61%
-3.41%
-5.00%
-7.69%
-5.13%
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
8
2
5
8
12
7
8
7
11
10
4
2011 Contract Condition
Yes
Yes
Yes
Yes
Action
Yes
Yes
Yes
Copyright © 1989-
Moore Research Center, Inc.
All Rights Reserved.
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
Jul
Tested Years
20
20
20
20
20
20
20
20
21
21
21
Closed Lower
8
13
15
12
9
7
6
8
10
12
12
Penetrated Low
5
10
13
11
6
5
6
6
9
10
9
Scenario Percentage
63%
77%
87%
92%
67%
71%
100%
75%
90%
83%
75%
Avg Max Decline
7.82%
10.52%
10.33%
9.07%
13.47%
10.07%
10.42%
17.35%
17.97%
17.20%
15.58%
Max Decline
17.97%
20.90%
29.50%
28.61%
25.24%
22.92%
25.63%
35.19%
27.88%
32.40%
26.31%
Avg Days To Max Decline
24
16
13
18
26
22
21
24
23
18
21
Avg Max Increase
-2.99%
-1.39%
-1.85%
-2.03%
-5.70%
-6.23%
-4.69%
-4.33%
-8.15%
-4.52%
-6.35%
Max Increase
-4.08%
-5.87%
-6.49%
-10.41%
-10.77%
-23.15%
-11.31%
-10.27%
-14.77%
-13.49%
-16.17%
Avg Days to Max Increase
15
6
6
6
12
16
12
10
14
20
5
2011 Contract Condition
Yes
Yes
Yes
Yes
Action
Yes
No
No
Yes
High
5.220
4.735
4.549
4.575
4.678
4.888
4.663
4.726
4.815
4.850
Low
4.579
4.396
4.012
4.116
4.209
4.450
4.067
4.012
4.208
4.758
Close/Last
4.724
4.457
4.391
4.358
4.590
4.590
4.275
4.571
4.809
4.819
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