MRCI's ScenarioSM Study

ScenarioSM Study for December 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		21	22	22	22	22	23	23	23	23	23	23
Closed Higher		10	11	14	15	15	12	9	12	11	13	8
Exceeded High		7	10	12	15	13	7	5	10	9	11	2
Scenario Percentage		70%	91%	86%	100%	87%	58%	56%	83%	82%	85%	25%
Avg Max Increase		13.70%	12.77%	13.14%	12.84%	12.45%	9.73%	16.36%	19.77%	17.94%	17.55%	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	13	20	13	17	11
Avg Max Decline		-1.13%	-2.11%	-2.16%	-2.73%	-2.67%	-2.56%	-2.56%	-4.43%	-2.45%	-5.46%	-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	7	10	7	8	7	7	3
2012 Contract Condition				Yes		Yes		Yes	Yes		Yes	Yes
Action				No		Yes		Yes	No		Yes	Not Yet

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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		21	22	22	22	22	23	23	23	23	23	23
Closed Lower		11	11	8	7	7	11	14	11	12	10	15
Penetrated Low		9	8	4	7	6	9	12	10	11	9	11
Scenario Percentage		82%	73%	50%	100%	86%	82%	86%	91%	92%	90%	73%
Avg Max Decline		7.65%	9.40%	11.04%	8.07%	10.44%	10.96%	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	17	22	22	21	23	23	15	15	19	17
Avg Max Increase		-2.17%	-3.94%	-1.56%	-4.13%	-3.66%	-6.01%	-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		9	8	5	15	17	14	15	8	7	17	4
2012 Contract Condition		Yes	Yes		Yes		Yes			Yes
Action		Yes	Yes		Yes		Yes			No
High	4.600	4.341	3.843	3.667	3.405	3.276	3.479	3.464	3.631	3.594	3.627	3.970
Low	4.135	3.730	3.181	3.265	3.120	2.909	3.087	2.962	3.250	3.055	3.055	3.609
Close/Last	4.252	3.757	3.376	3.413	3.181	3.182	3.156	3.355	3.579	3.220	3.615	3.692