MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years	16	17	17	17	17	18	18	18	18	18	18
Closed Higher	7	10	13	13	12	9	7	10	11	11	7
Exceeded High	5	9	11	13	10	4	3	10	9	9	2
Scenario Percentage	71%	90%	85%	100%	83%	44%	43%	100%	82%	82%	29%
Avg Max Increase	14.82%	11.36%	12.68%	13.06%	12.94%	8.25%	23.95%	19.77%	17.94%	19.74%	26.52%
Max Increase	32.50%	24.85%	34.97%	48.25%	40.77%	12.88%	52.45%	67.45%	32.88%	69.88%	48.46%
Avg Days To Max Increase	20	26	18	18	14	23	11	20	13	16	11
Avg Max Decline	-0.36%	-1.98%	-1.74%	-2.18%	-2.06%	-3.46%	-2.88%	-4.43%	-2.45%	-5.72%	-4.22%
Max Decline	-2.36%	-3.30%	-4.84%	-6.23%	-5.07%	-5.95%	-7.11%	-13.32%	-7.45%	-17.06%	-7.26%
Avg Days to Max Decline	3	9	3	10	8	16	6	8	7	9	3
2007 Contract Condition		Yes		Yes	Yes					Yes	Yes
Action		Yes		Yes	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	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years	16	17	17	17	17	18	18	18	18	18	18
Closed Lower	9	7	4	4	5	9	11	8	7	7	11
Penetrated Low	7	4		4	5	7	9	7	7	6	9
Scenario Percentage	78%	57%	0%	100%	100%	78%	82%	88%	100%	86%	82%
Avg Max Decline	4.64%	6.09%		9.53%	11.99%	11.47%	9.73%	9.93%	11.15%	13.49%	23.15%
Max Decline	11.38%	16.43%		21.83%	28.01%	19.21%	23.07%	13.61%	30.31%	29.25%	59.69%
Avg Days To Max Decline	13	13		20	21	23	21	13	11	19	21
Avg Max Increase	-1.46%	-2.94%		-3.59%	-2.67%	-6.91%	-2.09%	-4.81%	-2.89%	-11.98%	-9.80%
Max Increase	-7.66%	-8.82%		-11.38%	-5.99%	-14.34%	-7.63%	-10.56%	-5.16%	-31.20%	-47.44%
Avg Days to Max Increase	10	5		10	18	15	15	10	8	21	8
2007 Contract Condition	Yes		Yes			Yes	Yes	Yes	Yes
Action	No		No			Yes	Yes	Yes	Yes
High	9.400	9.119	9.419	9.580	9.750	9.912	9.838	8.676	8.800	8.025	8.475
Low	8.270	8.310	8.830	8.839	9.207	9.420	8.390	7.970	7.350	7.165	7.365
Close/Last	8.563	9.016	9.015	9.560	9.661	9.600	8.573	8.294	7.381	7.705	8.330