MRCI's ScenarioSM Study

ScenarioSM Study for November 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	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep
Tested Years		22	22	22	22	22	22	23	23	23	23	23
Closed Higher		6	10	10	14	15	14	13	10	11	10	13
Exceeded High		4	7	10	12	15	11	8	5	9	8	12
Scenario Percentage		67%	70%	100%	86%	100%	79%	62%	50%	82%	80%	92%
Avg Max Increase		10.86%	14.47%	13.40%	14.82%	13.78%	15.01%	9.66%	21.79%	23.70%	19.38%	11.62%
Max Increase		25.82%	36.54%	27.29%	40.36%	49.68%	42.55%	17.99%	61.21%	71.77%	36.43%	25.39%
Avg Days To Max Increase		8	21	25	19	17	15	19	24	19	14	19
Avg Max Decline		-1.11%	-0.80%	-2.56%	-2.02%	-2.86%	-3.46%	-5.84%	-6.04%	-6.20%	-2.93%	-5.37%
Max Decline		-2.54%	-3.05%	-4.39%	-7.06%	-7.12%	-10.59%	-16.13%	-16.70%	-20.10%	-7.84%	-14.71%
Avg Days to Max Decline		3	6	14	6	8	8	13	11	10	7	5
2012 Contract Condition					Yes		Yes		Yes	Yes		Yes
Action					No		Yes		Yes	No		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	Sep
Tested Years		22	22	22	22	22	22	23	23	23	23	23
Closed Lower		16	12	12	8	7	8	10	13	12	13	10
Penetrated Low		13	10	9	5	6	6	8	11	10	12	9
Scenario Percentage		81%	83%	75%	63%	86%	75%	80%	85%	83%	92%	90%
Avg Max Decline		10.42%	8.69%	9.66%	11.51%	9.74%	11.46%	13.21%	12.93%	15.34%	15.58%	9.02%
Max Decline		27.32%	24.57%	20.93%	16.57%	23.43%	30.43%	22.33%	26.51%	25.58%	35.90%	19.47%
Avg Days To Max Decline		14	18	18	21	22	22	20	24	15	15	17
Avg Max Increase		-1.88%	-2.23%	-4.45%	-1.75%	-3.67%	-3.92%	-7.84%	-3.51%	-5.85%	-4.94%	-4.89%
Max Increase		-5.70%	-8.20%	-10.46%	-3.88%	-11.43%	-9.07%	-14.01%	-9.10%	-11.98%	-16.44%	-20.08%
Avg Days to Max Increase		7	9	6	6	9	10	15	18	8	11	3
2012 Contract Condition		Yes	Yes	Yes		Yes		Yes			Yes
Action		Yes	Yes	Yes		Yes		Yes			Not Yet
High	4.441	4.352	4.065	3.583	3.364	3.105	2.908	3.191	3.217	3.407	3.368	3.330
Low	4.196	3.853	3.450	2.881	2.981	2.780	2.566	2.784	2.650	2.968	2.790	2.802
Close/Last	4.346	3.964	3.479	3.098	3.121	2.816	2.852	2.851	3.091	3.348	2.963	3.320