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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Lumber(CME) as of Oct 31, 2017
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   30 32 40 43 44 44 44 44 44 44 44
Closed Higher   15 16 18 21 19 15 20 13 28 32 25
Exceeded High   11 10 14 14 13 12 10 12 23 23 13
Scenario Percentage   73% 63% 78% 67% 68% 80% 50% 92% 82% 72% 52%
Avg Max Increase   9.61% 10.11% 8.42% 7.69% 5.76% 10.27% 9.12% 10.97% 11.25% 9.37% 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 16 16 13 14 19 11 8
Avg Max Decline   -0.78% -1.68% -1.41% -1.74% -2.83% -2.72% -2.28% -3.33% -3.52% -3.87% -1.03%
Max Decline   -5.98% -6.05% -5.07% -5.15% -8.71% -7.00% -8.36% -7.74% -12.32% -11.73% -4.12%
Avg Days to Max Decline   6 10 5 6 9 10 9 6 11 8 3
2018 Contract Condition   Yes       Yes Yes Yes Yes Yes    
Action   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   30 32 40 43 44 44 44 44 44 44 44
Closed Lower   14 16 22 22 25 29 24 31 16 12 19
Penetrated Low   12 13 17 21 15 22 18 22 12 5 9
Scenario Percentage   86% 81% 77% 95% 60% 76% 75% 71% 75% 42% 47%
Avg Max Decline   7.65% 7.52% 9.08% 8.49% 9.97% 12.70% 10.89% 7.89% 7.77% 15.25% 8.15%
Max Decline   15.76% 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 12 16 21 20 24 21 13 13 11 11
Avg Max Increase   -1.82% -1.03% -2.26% -3.00% -2.32% -2.67% -3.47% -3.16% -3.55% -1.69% -0.91%
Max Increase   -3.61% -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   9 5 11 10 9 9 14 6 7 4 3
2018 Contract Condition     Yes Yes Yes              
Action     Yes Yes No              
High 371.8 391.0 391.0 408.0 388.0 361.5 382.8 381.5 399.3 448.0    
Low 360.0 375.4 376.0 383.7 335.0 338.0 350.0 352.1 381.3 392.9    
Close/Last 371.8 390.0 388.9 383.7 336.5 358.7 367.5 380.0 392.9 444.0    

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