MRCI's ScenarioSM Study

ScenarioSM Study for December Natural Gas(NYM) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		17	18	18	18	18	19	19	19	19	19	19
Closed Higher		8	11	14	14	13	10	8	10	11	11	7
Exceeded High		6	10	12	14	11	5	4	10	9	9	2
Scenario Percentage		75%	91%	86%	100%	85%	50%	50%	100%	82%	82%	29%
Avg Max Increase		15.41%	12.77%	13.14%	13.45%	13.66%	9.65%	18.40%	19.77%	17.94%	19.74%	26.52%
Max Increase		32.50%	25.43%	34.97%	48.25%	40.77%	15.24%	52.45%	67.45%	32.88%	69.88%	48.46%
Avg Days To Max Increase		21	25	19	19	16	19	9	20	13	16	11
Avg Max Decline		-0.88%	-2.11%	-2.16%	-2.51%	-2.12%	-2.68%	-2.42%	-4.43%	-2.45%	-5.72%	-4.22%
Max Decline		-3.50%	-3.30%	-6.82%	-6.82%	-5.07%	-5.95%	-7.11%	-13.32%	-7.45%	-17.06%	-7.26%
Avg Days to Max Decline		6	8	5	9	7	13	5	8	7	9	3
2008 Contract Condition		Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		17	18	18	18	18	19	19	19	19	19	19
Closed Lower		9	7	4	4	5	9	11	9	8	8	12
Penetrated Low		7	4		4	5	7	9	8	8	7	9
Scenario Percentage		78%	57%	0%	100%	100%	78%	82%	89%	100%	88%	75%
Avg Max Decline		4.64%	6.09%		9.53%	11.99%	11.47%	9.73%	11.77%	13.38%	14.75%	9.41%
Max Decline		11.38%	16.43%		21.83%	28.01%	19.21%	23.07%	24.65%	30.31%	29.25%	18.72%
Avg Days To Max Decline		13	13		20	21	23	21	15	13	18	16
Avg Max Increase		-1.46%	-2.94%		-3.59%	-2.67%	-6.91%	-2.09%	-4.73%	-2.66%	-11.02%	-5.15%
Max Increase		-7.66%	-8.82%		-11.38%	-5.99%	-14.34%	-7.63%	-10.56%	-5.16%	-31.20%	-16.04%
Avg Days to Max Increase		10	5		10	18	15	15	9	9	18	5
2008 Contract Condition									Yes	Yes	Yes	Yes
Action									Yes	Yes	Yes	Yes
High	9.344	8.767	9.130	10.380	11.232	12.258	12.995	14.160	14.355	10.400	8.884	8.199
Low	8.440	8.300	8.460	8.660	9.660	10.225	11.400	12.510	9.667	8.541	7.523	6.240
Close/Last	8.479	8.767	8.955	10.322	10.973	11.715	12.457	14.110	9.984	8.788	7.788	6.783