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An impressive performance enabled the Thunder to take Saturday's game 4-0 but the Stampede bounced back to win 6-2 on Sunday.
A three-goal second period helped the Thunder on its way to its win, as it played its best ice hockey of the season.
Import Greg Wilson got the scoring under way early in that period. He then did well to keep the puck alive in the zone, allowing Kevin Jagau to finish off a goalmouth scramble to take the lead to 2-0.
Tristan Darling added a third late in the period, after Jagau this time kept the puck alive.
Wilson added another just after the break.
It was at the defensive end that the Thunder got the job done though.
Goalkeeper Danny Lee made 50 saves to help keep the Stampede scoreless.
However, the Stampede was able to turn things around for the second game.
Juris Berzins gave the Thunder a 1-0 lead 12 minutes in, after a good pass from Wilson.
But a quick blitz allowed the Stampede to score three quick goals.
Braden Lee hit back straight away, to tie things up, before Colin McIntosh made it 2-1 after receiving a good pass from Jeremy Akeson.
Akeson added one himself not long after to well and truly put the Stampede on the front foot.
Lee scored early in the second period to extend the Stampede's lead to 4-1, before Benji Gavoille pulled one back for the Thunder.
It was unable to make any more inroads though, as Akeson and McIntosh added goals to help the Stampede to a comfortable win.