MRCI's ScenarioSM Study

ScenarioSM Study for October Natural Gas(NYM) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	17	17	17	17	17	17	17	18	18	18	18
Closed Higher	6	5	8	8	13	13	10	9	7	8	9
Exceeded High	3	4	6	8	11	13	9	5	5	8	7
Scenario Percentage	50%	80%	75%	100%	85%	100%	90%	56%	71%	100%	78%
Avg Max Increase	8.61%	11.35%	15.19%	13.93%	16.52%	15.13%	15.10%	11.20%	23.90%	30.00%	18.05%
Max Increase	13.84%	26.17%	40.28%	29.61%	45.23%	50.99%	44.79%	18.93%	73.17%	68.95%	32.10%
Avg Days To Max Increase	12	8	19	25	15	17	14	24	21	17	20
Avg Max Decline	-0.81%	-1.79%	-1.88%	-2.70%	-1.80%	-2.98%	-3.35%	-6.38%	-8.17%	-5.70%	-3.80%
Max Decline	-2.85%	-2.44%	-3.57%	-4.49%	-6.23%	-6.20%	-6.98%	-12.50%	-17.71%	-12.12%	-7.53%
Avg Days to Max Decline	3	4	10	9	5	9	8	14	11	6	5
2007 Contract Condition	Yes	Yes		Yes		Yes	Yes
Action	Yes	No		Yes		Yes	Yes

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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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years	17	17	17	17	17	17	17	18	18	18	18
Closed Lower	9	10	9	9	4	4	7	9	11	10	9
Penetrated Low	6	8	8	5	1	4	6	8	9	9	8
Scenario Percentage	67%	80%	89%	56%	25%	100%	86%	89%	82%	90%	89%
Avg Max Decline	8.13%	8.17%	6.94%	9.10%	4.15%	10.87%	16.25%	17.33%	15.94%	15.72%	17.73%
Max Decline	13.08%	18.19%	14.54%	24.63%	4.15%	25.09%	34.29%	26.66%	30.41%	29.30%	38.70%
Avg Days To Max Decline	17	10	18	20	19	20	24	23	26	15	15
Avg Max Increase	-1.16%	-2.51%	-1.54%	-4.19%	-3.08%	-4.21%	-4.21%	-8.02%	-7.88%	-7.92%	-7.42%
Max Increase	-3.21%	-6.24%	-9.20%	-10.64%	-3.08%	-11.44%	-10.34%	-14.11%	-31.42%	-14.39%	-14.29%
Avg Days to Max Increase	9	9	7	10	7	9	9	15	22	9	9
2007 Contract Condition			Yes		Yes			Yes	Yes	Yes	Yes
Action			Yes		Yes			Yes	Yes	Yes	Yes
High	8.330	8.645	8.520	8.239	8.393	8.368	8.509	8.689	8.527	7.116	7.345
Low	7.620	7.800	6.960	6.947	7.716	7.534	7.841	7.950	6.807	6.043	5.414
Close/Last	7.828	8.641	7.253	8.096	7.860	8.265	8.301	8.240	7.023	6.421	5.468