MRCI's ScenarioSM Study

ScenarioSM Study for September Natural Gas(NYM) as of Jan 01, 2013
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		22	22	22	22	22	22	22	22	23	23	23
Closed Higher		12	7	5	9	10	13	15	14	12	10	10
Exceeded High		8	4	4	8	10	12	15	13	8	7	9
Scenario Percentage		67%	57%	80%	89%	100%	92%	100%	93%	67%	70%	90%
Avg Max Increase		6.32%	6.92%	10.79%	15.00%	15.37%	17.54%	15.69%	16.66%	16.42%	16.23%	13.26%
Max Increase		14.51%	12.72%	25.70%	40.58%	29.66%	48.89%	51.66%	46.20%	29.47%	44.05%	28.45%
Avg Days To Max Increase		16	10	14	19	23	16	17	15	21	18	14
Avg Max Decline		-4.56%	-1.09%	-1.73%	-0.57%	-2.81%	-2.42%	-3.90%	-4.60%	-5.72%	-7.23%	-5.13%
Max Decline		-12.68%	-3.00%	-2.90%	-3.47%	-4.55%	-6.78%	-7.94%	-12.27%	-11.97%	-18.51%	-11.41%
Avg Days to Max Decline		8	2	5	8	12	7	9	10	11	10	4
2012 Contract Condition									Yes	Yes	Yes	Yes
Action									Yes	Yes	Yes	Not Yet

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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	Jul
Tested Years		22	22	22	22	22	22	22	22	23	23	23
Closed Lower		10	15	17	13	10	9	7	8	11	13	13
Penetrated Low		7	11	14	12	7	7	7	6	10	11	10
Scenario Percentage		70%	73%	82%	92%	70%	78%	100%	75%	91%	85%	77%
Avg Max Decline		8.93%	11.57%	11.70%	9.87%	13.74%	11.11%	10.48%	17.35%	17.54%	16.78%	14.75%
Max Decline		17.97%	22.07%	29.50%	28.61%	25.24%	22.92%	25.63%	35.19%	27.88%	32.40%	26.31%
Avg Days To Max Decline		23	17	13	18	26	19	21	24	22	18	20
Avg Max Increase		-2.53%	-1.28%	-1.93%	-2.16%	-6.08%	-4.69%	-4.53%	-4.33%	-7.97%	-4.51%	-5.92%
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		12	6	6	6	12	11	11	10	13	20	4
2012 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	Yes	Yes	Yes	Yes	Yes
High	4.648	4.630	4.269	4.179	3.895	3.401	3.143	2.868	2.582	2.912	2.978	3.277
Low	4.351	4.235	4.006	3.670	3.249	2.670	2.773	2.455	2.222	2.458	2.259	2.706
Close/Last	4.578	4.239	4.169	3.786	3.283	2.900	2.899	2.492	2.509	2.531	2.833	3.209