MRCI's ScenarioSM Study

ScenarioSM Study for January Lumber(CME) as of Jan 10, 2003
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years	20	22	27	29	29	29	29	29	29	29	29
Closed Higher	11	11	12	15	12	10	14	9	20	23	17
Exceeded High	8	7	9	9	8	7	6	8	17	15	9
Scenario Percentage	73%	64%	75%	60%	67%	70%	43%	89%	85%	65%	53%
Avg Max Increase	9.97%	8.31%	8.66%	6.16%	5.98%	10.57%	9.55%	12.25%	11.01%	10.05%	5.92%
Max Increase	46.82%	27.49%	18.38%	10.72%	12.69%	16.20%	19.41%	35.46%	29.17%	27.14%	12.64%
Avg Days To Max Increase	15	16	13	16	17	15	11	16	20	13	10
Avg Max Decline	-0.29%	-1.29%	-1.49%	-1.22%	-2.62%	-1.94%	-2.54%	-2.39%	-2.68%	-3.77%	-1.43%
Max Decline	-2.48%	-3.21%	-5.07%	-5.15%	-7.74%	-5.96%	-8.36%	-5.18%	-7.38%	-8.95%	-4.12%
Avg Days to Max Decline	6	9	6	7	8	7	9	6	9	9	3
2003 Contract Condition					Yes				Yes	Yes
Action					No				No	Yes

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Some data provided by Prophetfinance.com

Condition 2: Lower Monthly Close. Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years	20	22	27	29	29	29	29	29	29	29	29
Closed Lower	9	11	15	14	17	19	15	20	9	6	12
Penetrated Low	8	9	11	14	12	14	11	13	6	2	8
Scenario Percentage	89%	82%	73%	100%	71%	74%	73%	65%	67%	33%	67%
Avg Max Decline	7.25%	8.26%	9.94%	8.21%	9.75%	11.70%	10.22%	7.32%	8.14%	10.64%	8.44%
Max Decline	14.49%	16.83%	25.65%	20.85%	17.89%	25.40%	20.55%	20.55%	18.49%	15.09%	22.89%
Avg Days To Max Decline	20	11	17	21	20	24	21	14	14	11	9
Avg Max Increase	-1.71%	-1.06%	-2.57%	-3.84%	-2.36%	-2.46%	-3.04%	-3.43%	-3.90%	-2.94%	-1.88%
Max Increase	-3.48%	-3.82%	-11.07%	-8.78%	-7.32%	-16.05%	-5.81%	-12.89%	-10.24%	-4.40%	-6.39%
Avg Days to Max Increase	12	6	15	11	9	6	12	3	7	8	4
2003 Contract Condition				Yes		Yes	Yes	Yes			Yes
Action				Yes		Yes	Yes	Yes			Not Yet
High			300.0	305.9	299.9	298.6	270.3	249.0	256.1	239.3	247.0
Low			299.2	289.0	280.5	259.0	250.9	228.0	229.1	220.3	212.0
Close/Last			299.2	292.8	299.8	267.4	251.5	233.8	235.1	236.5	217.7