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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Lumber(CME) as of Jul 31, 2006 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jun |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
18 |
23 |
28 |
32 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Higher |
8 |
11 |
12 |
12 |
15 |
11 |
21 |
24 |
23 |
19 |
13 |
| Exceeded High |
6 |
8 |
10 |
8 |
9 |
11 |
18 |
21 |
20 |
14 |
5 |
| Scenario Percentage |
75% |
73% |
83% |
67% |
60% |
100% |
86% |
88% |
87% |
74% |
38% |
| Avg Max Increase |
7.90% |
4.95% |
5.02% |
9.25% |
9.24% |
9.07% |
9.04% |
10.50% |
13.83% |
14.19% |
12.12% |
| Max Increase |
14.95% |
11.35% |
11.06% |
14.31% |
19.66% |
29.85% |
22.31% |
23.15% |
65.75% |
62.41% |
27.46% |
| Avg Days To Max Increase |
11 |
16 |
17 |
21 |
14 |
16 |
20 |
20 |
19 |
11 |
9 |
| Avg Max Decline |
-0.66% |
-0.75% |
-2.07% |
-1.68% |
-1.82% |
-3.12% |
-2.72% |
-3.84% |
-3.84% |
-1.78% |
-1.85% |
| Max Decline |
-3.19% |
-4.45% |
-8.25% |
-4.40% |
-6.23% |
-8.58% |
-7.40% |
-11.42% |
-10.84% |
-6.62% |
-4.66% |
| Avg Days to Max Decline |
3 |
6 |
8 |
7 |
15 |
12 |
11 |
12 |
11 |
5 |
2 |
| 2006 Contract Condition |
|
|
|
|
|
Yes |
|
Yes |
Yes |
|
|
| Action |
|
|
|
|
|
Yes |
|
Yes |
Yes |
|
|
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jun |
Jun |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
18 |
23 |
28 |
32 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Lower |
10 |
12 |
16 |
20 |
16 |
22 |
12 |
8 |
10 |
14 |
20 |
| Penetrated Low |
6 |
11 |
12 |
14 |
13 |
15 |
7 |
3 |
7 |
10 |
19 |
| Scenario Percentage |
60% |
92% |
75% |
70% |
81% |
68% |
58% |
38% |
70% |
71% |
95% |
| Avg Max Decline |
8.40% |
7.02% |
7.74% |
10.04% |
8.57% |
6.46% |
7.42% |
8.43% |
9.09% |
9.24% |
7.63% |
| Max Decline |
14.84% |
18.78% |
15.02% |
21.23% |
17.94% |
20.19% |
17.59% |
13.08% |
17.89% |
19.91% |
24.38% |
| Avg Days To Max Decline |
15 |
20 |
18 |
24 |
20 |
15 |
14 |
24 |
18 |
7 |
9 |
| Avg Max Increase |
-1.43% |
-2.99% |
-1.83% |
-1.88% |
-2.68% |
-3.24% |
-2.43% |
-4.18% |
-1.77% |
-2.41% |
-2.53% |
| Max Increase |
-3.11% |
-9.30% |
-4.56% |
-4.33% |
-8.56% |
-11.67% |
-5.91% |
-6.31% |
-7.20% |
-9.32% |
-15.84% |
| Avg Days to Max Increase |
22 |
8 |
11 |
9 |
9 |
4 |
7 |
5 |
9 |
7 |
5 |
| 2006 Contract Condition |
|
|
|
Yes |
Yes |
|
Yes |
|
|
Yes |
Yes |
| Action |
|
|
|
Yes |
No |
|
No |
|
|
Yes |
Yes |
| High |
|
|
340.0 |
335.0 |
323.8 |
341.4 |
334.0 |
361.1 |
379.0 |
391.8 |
371.3 |
| Low |
|
|
325.2 |
312.0 |
288.5 |
308.0 |
311.8 |
320.5 |
335.5 |
353.2 |
329.5 |
| Close/Last |
|
|
327.0 |
312.0 |
303.6 |
336.2 |
323.5 |
345.1 |
366.7 |
355.8 |
330.5 |
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