MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		20	21	21	21	21	22	22	22	22	22	22
Closed Higher		10	11	14	15	14	12	8	11	11	12	7
Exceeded High		7	10	12	15	12	7	4	10	9	10	2
Scenario Percentage		70%	91%	86%	100%	86%	58%	50%	91%	82%	83%	29%
Avg Max Increase		13.70%	12.77%	13.14%	12.84%	12.71%	9.73%	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	18	15	18	9	20	13	17	11
Avg Max Decline		-1.13%	-2.11%	-2.16%	-2.73%	-2.74%	-2.56%	-2.42%	-4.43%	-2.45%	-5.99%	-4.22%
Max Decline		-3.50%	-3.30%	-6.82%	-6.82%	-9.58%	-5.95%	-7.11%	-13.32%	-7.45%	-17.06%	-7.26%
Avg Days to Max Decline		6	8	5	9	8	10	5	8	7	8	3
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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		20	21	21	21	21	22	22	22	22	22	22
Closed Lower		10	10	7	6	7	10	14	11	11	10	15
Penetrated Low		8	7	3	6	6	8	12	10	11	9	11
Scenario Percentage		80%	70%	43%	100%	86%	80%	86%	91%	100%	90%	73%
Avg Max Decline		6.69%	9.66%	10.35%	7.98%	10.44%	11.56%	10.99%	12.49%	14.04%	15.04%	10.80%
Max Decline		21.07%	18.72%	14.25%	21.83%	28.01%	19.21%	23.07%	24.65%	30.31%	29.25%	18.72%
Avg Days To Max Decline		15	15	22	22	21	24	23	15	15	19	17
Avg Max Increase		-2.15%	-3.27%	-1.53%	-4.32%	-3.66%	-6.56%	-2.60%	-4.89%	-2.13%	-9.02%	-4.39%
Max Increase		-7.66%	-8.82%	-3.52%	-11.38%	-8.62%	-14.34%	-7.63%	-10.56%	-5.16%	-31.20%	-16.04%
Avg Days to Max Increase		10	6	7	17	17	14	15	8	7	17	4
2011 Contract Condition			Yes	Yes			Yes	Yes	Yes	Yes	Yes	Yes
Action			Yes	Yes			Yes	Yes	Yes	Yes	Yes	Yes
High	5.176	5.221	5.268	5.048	5.145	5.173	5.215	5.283	4.871	4.537	4.450	4.039
Low	4.740	4.785	4.895	4.565	4.520	4.708	4.670	4.586	4.457	4.134	3.936	3.724
Close/Last	4.987	5.092	4.985	4.770	4.998	5.165	5.075	4.739	4.462	4.386	3.962	3.934