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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Lumber(CME) as of Jan 01, 2014
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   26 28 36 39 40 40 40 40 40 40 40
Closed Higher   13 14 17 19 17 13 18 11 26 30 23
Exceeded High   9 9 13 12 12 10 9 10 21 22 13
Scenario Percentage   69% 64% 76% 63% 71% 77% 50% 91% 81% 73% 57%
Avg Max Increase   9.30% 10.12% 8.46% 7.66% 5.75% 10.57% 8.51% 12.21% 11.79% 9.60% 5.73%
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 15 15 11 15 20 11 8
Avg Max Decline   -0.92% -1.19% -1.45% -1.35% -2.72% -2.15% -2.52% -3.32% -3.57% -4.02% -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 5 6 8 7 10 6 11 9 3
2013 Contract Condition   Yes   Yes     Yes Yes   Yes Yes Yes
Action   No   Yes     Yes Yes   Yes 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   26 28 36 39 40 40 40 40 40 40 40
Closed Lower   12 14 19 20 23 27 22 29 14 10 17
Penetrated Low   10 11 15 20 15 21 16 21 10 4 9
Scenario Percentage   83% 79% 79% 100% 65% 78% 73% 72% 71% 40% 53%
Avg Max Decline   6.82% 7.27% 8.69% 8.60% 9.97% 12.52% 11.47% 7.95% 8.84% 17.41% 8.15%
Max Decline   14.49% 16.83% 25.65% 20.85% 17.89% 25.40% 25.90% 20.55% 18.49% 28.58% 18.42%
Avg Days To Max Decline   20 9 16 22 20 24 20 13 14 12 11
Avg Max Increase   -1.70% -1.19% -2.24% -3.13% -2.32% -2.63% -2.85% -3.05% -3.73% -1.69% -0.91%
Max Increase   -3.48% -3.82% -11.07% -8.78% -7.32% -16.05% -11.88% -12.89% -10.24% -4.40% -2.43%
Avg Days to Max Increase   10 6 11 11 9 9 13 6 8 5 3
2013 Contract Condition     Yes   Yes Yes     Yes      
Action     Yes   Yes No     No      
High 282.4 299.8 296.8 298.8 299.8 287.7 295.8 318.0 299.1 331.8 345.8 392.8
Low 267.6 279.6 275.0 274.4 283.2 258.4 267.0 285.9 280.3 285.8 317.0 332.6
Close/Last 279.6 295.0 275.0 297.7 283.7 269.4 286.1 299.0 292.7 331.2 340.1 373.9

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