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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Lumber(CME) 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   24 26 34 37 38 38 38 38 38 38 38
Closed Higher   12 13 16 19 16 12 17 11 24 29 21
Exceeded High   9 9 12 12 11 9 8 10 19 21 13
Scenario Percentage   75% 69% 75% 63% 69% 75% 47% 91% 79% 72% 62%
Avg Max Increase   9.30% 10.12% 9.11% 7.66% 5.75% 10.51% 8.20% 12.21% 11.63% 9.20% 5.62%
Max Increase   46.82% 27.49% 24.50% 13.86% 12.69% 16.20% 19.41% 35.46% 29.17% 27.14% 12.64%
Avg Days To Max Increase   17 18 13 16 16 15 9 15 19 10 8
Avg Max Decline   -0.92% -1.19% -1.50% -1.35% -2.86% -2.38% -2.05% -3.32% -3.22% -4.11% -1.03%
Max Decline   -5.98% -3.21% -5.07% -5.15% -8.71% -5.96% -8.36% -7.74% -12.32% -11.73% -4.12%
Avg Days to Max Decline   6 11 6 6 8 8 7 6 10 9 3
2011 Contract Condition     Yes Yes     Yes   Yes Yes   Yes
Action     Yes No     Yes   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   24 26 34 37 38 38 38 38 38 38 38
Closed Lower   12 13 18 18 22 26 21 27 14 9 17
Penetrated Low   10 10 14 18 15 20 15 20 10 4 9
Scenario Percentage   83% 77% 78% 100% 68% 77% 71% 74% 71% 44% 53%
Avg Max Decline   6.82% 7.97% 8.62% 8.56% 9.97% 12.14% 11.22% 7.98% 8.84% 14.69% 6.78%
Max Decline   14.49% 16.83% 25.65% 20.85% 17.89% 25.40% 25.90% 20.55% 18.49% 19.43% 12.21%
Avg Days To Max Decline   20 10 16 22 20 24 20 12 14 11 10
Avg Max Increase   -1.70% -1.20% -2.40% -3.36% -2.32% -2.50% -2.25% -2.80% -3.73% -1.69% -0.91%
Max Increase   -3.48% -3.82% -11.07% -8.78% -7.32% -16.05% -5.81% -12.89% -10.24% -4.40% -2.43%
Avg Days to Max Increase   10 6 12 12 9 8 13 4 8 5 3
2011 Contract Condition   Yes     Yes Yes   Yes     Yes  
Action   No     Yes No   No     Not Yet  
High 271.5 277.0 271.0 318.0 307.0 253.3 239.9 237.5 263.8 280.7 289.0 316.4
Low 253.9 261.0 261.0 266.6 243.5 211.0 222.0 219.5 224.4 237.3 245.5 246.5
Close/Last 267.0 261.0 266.4 307.0 248.0 227.5 228.9 225.5 253.4 280.0 247.0 302.0

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