MRCI's ScenarioSM Study

ScenarioSM Study for December Natural Gas(NYM) as of Jan 01, 2010
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	18	19	19	19	19	20	20	20	20	20	20
Closed Higher	8	11	14	14	13	11	8	10	11	12	7
Exceeded High	6	10	12	14	11	6	4	10	9	10	2
Scenario Percentage	75%	91%	86%	100%	85%	55%	50%	100%	82%	83%	29%
Avg Max Increase	15.41%	12.77%	13.14%	13.45%	13.66%	9.75%	18.40%	19.77%	17.94%	18.32%	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	18	9	20	13	17	11
Avg Max Decline	-0.88%	-2.11%	-2.16%	-2.51%	-2.12%	-2.62%	-2.42%	-4.43%	-2.45%	-5.99%	-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	12	5	8	7	8	3
2009 Contract Condition						Yes				Yes
Action						Yes				Yes

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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	18	19	19	19	19	20	20	20	20	20	20
Closed Lower	10	8	5	5	6	9	12	10	9	8	13
Penetrated Low	8	5	1	5	5	7	10	9	9	7	11
Scenario Percentage	80%	62%	20%	100%	83%	78%	83%	90%	100%	88%	85%
Avg Max Decline	6.69%	7.92%	11.55%	8.95%	11.99%	11.47%	10.10%	12.57%	13.03%	14.75%	21.52%
Max Decline	21.07%	16.43%	11.55%	21.83%	28.01%	19.21%	23.07%	24.65%	30.31%	29.25%	59.69%
Avg Days To Max Decline	15	14	30	22	21	23	22	14	12	18	20
Avg Max Increase	-2.15%	-3.24%	-3.52%	-3.57%	-2.67%	-6.91%	-2.47%	-5.24%	-2.41%	-11.02%	-8.92%
Max Increase	-7.66%	-8.82%	-3.52%	-11.38%	-5.99%	-14.34%	-7.63%	-10.56%	-5.16%	-31.20%	-47.44%
Avg Days to Max Increase	10	6	19	12	18	15	16	9	8	18	7
2009 Contract Condition	Yes	Yes	Yes	Yes	Yes		Yes	Yes	Yes		Yes
Action	Yes	Yes	Yes	Yes	No		Yes	Yes	Yes		Yes
High	7.910	7.621	6.550	6.051	5.732	6.150	6.170	5.590	5.860	5.750	5.989
Low	6.753	6.225	5.624	5.316	5.170	5.235	5.468	4.942	4.788	4.340	4.941
Close/Last	7.125	6.272	5.845	5.537	5.229	5.596	5.533	5.358	4.832	5.674	5.045