MRCI's ScenarioSM Study

ScenarioSM Study for October Natural Gas(NYM) as of Dec 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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		21	21	21	21	21	21	21	22	22	22	22
Closed Higher		7	5	11	9	14	15	12	12	9	9	9
Exceeded High		4	4	8	9	12	15	11	7	6	9	7
Scenario Percentage		57%	80%	73%	100%	86%	100%	92%	58%	67%	100%	78%
Avg Max Increase		6.90%	11.35%	14.95%	15.33%	16.81%	14.76%	14.67%	12.73%	20.28%	27.61%	19.02%
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		9	8	21	23	16	17	15	19	17	15	21
Avg Max Decline		-0.72%	-1.79%	-1.82%	-2.90%	-2.22%	-3.58%	-4.08%	-4.94%	-7.01%	-5.58%	-3.80%
Max Decline		-2.85%	-2.44%	-3.57%	-4.51%	-6.85%	-7.82%	-11.85%	-12.50%	-17.71%	-12.12%	-7.53%
Avg Days to Max Decline		3	4	11	8	6	9	8	10	10	5	5
2011 Contract Condition				Yes			Yes	Yes
Action				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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		21	21	21	21	21	21	21	22	22	22	22
Closed Lower		12	14	10	12	7	6	9	10	13	13	13
Penetrated Low		8	11	9	8	4	6	7	9	11	12	11
Scenario Percentage		67%	79%	90%	67%	57%	100%	78%	90%	85%	92%	85%
Avg Max Decline		10.43%	9.47%	9.32%	12.30%	12.60%	10.38%	14.64%	16.89%	17.17%	17.97%	13.36%
Max Decline		20.14%	28.79%	28.37%	24.63%	21.22%	25.09%	34.29%	26.66%	30.69%	38.37%	33.04%
Avg Days To Max Decline		16	10	19	20	20	22	24	21	26	13	14
Avg Max Increase		-1.55%	-1.97%	-2.23%	-4.85%	-2.16%	-4.82%	-5.14%	-7.75%	-7.26%	-7.58%	-4.96%
Max Increase		-6.07%	-6.24%	-9.20%	-10.64%	-4.47%	-11.44%	-10.74%	-14.11%	-31.42%	-14.39%	-14.29%
Avg Days to Max Increase		7	7	7	9	8	12	10	15	23	7	5
2011 Contract Condition		Yes	Yes		Yes	Yes			Yes	Yes	Yes	Yes
Action		No	No		Yes	Yes			Yes	Yes	Yes	Yes
High	4.849	4.629	4.660	4.757	4.950	4.704	4.770	4.850	4.884	5.010	4.600	4.228
Low	4.473	4.155	4.182	4.280	4.500	4.118	4.051	4.256	4.270	4.255	4.110	3.780
Close/Last	4.535	4.471	4.442	4.657	4.631	4.322	4.617	4.844	4.744	4.432	4.157	4.054