|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM 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 |
|
|
|
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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|
