|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Lumber(CME) as of Jan 07, 2009 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
19 |
24 |
30 |
34 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Higher |
8 |
12 |
13 |
12 |
16 |
11 |
22 |
26 |
23 |
19 |
15 |
| Exceeded High |
6 |
9 |
10 |
8 |
9 |
11 |
19 |
22 |
20 |
14 |
5 |
| Scenario Percentage |
75% |
75% |
77% |
67% |
56% |
100% |
86% |
85% |
87% |
74% |
33% |
| Avg Max Increase |
7.90% |
5.17% |
5.02% |
9.25% |
9.24% |
9.07% |
8.80% |
10.15% |
13.83% |
14.19% |
10.59% |
| Max Increase |
14.95% |
11.35% |
11.06% |
14.31% |
19.66% |
29.85% |
22.31% |
23.15% |
65.75% |
62.41% |
19.78% |
| Avg Days To Max Increase |
11 |
16 |
17 |
21 |
14 |
16 |
20 |
19 |
19 |
11 |
9 |
| Avg Max Decline |
-0.66% |
-1.05% |
-2.07% |
-1.68% |
-1.82% |
-3.12% |
-2.67% |
-3.90% |
-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 |
5 |
8 |
7 |
15 |
12 |
10 |
13 |
11 |
5 |
2 |
| 2008 Contract Condition |
|
Yes |
Yes |
|
|
|
|
Yes |
|
|
Yes |
| Action |
|
Yes |
No |
|
|
|
|
No |
|
|
Not Yet |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
| Tested Years |
19 |
24 |
30 |
34 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Lower |
11 |
12 |
17 |
22 |
17 |
24 |
13 |
8 |
12 |
16 |
20 |
| Penetrated Low |
6 |
11 |
13 |
16 |
14 |
17 |
8 |
3 |
9 |
12 |
19 |
| Scenario Percentage |
55% |
92% |
76% |
73% |
82% |
71% |
62% |
38% |
75% |
75% |
95% |
| Avg Max Decline |
8.40% |
7.02% |
7.92% |
10.01% |
8.65% |
6.47% |
7.52% |
8.43% |
10.23% |
9.32% |
7.54% |
| 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 |
17 |
23 |
20 |
14 |
16 |
24 |
20 |
7 |
8 |
| Avg Max Increase |
-1.43% |
-2.99% |
-1.74% |
-2.03% |
-2.49% |
-3.02% |
-2.61% |
-4.18% |
-1.95% |
-3.59% |
-2.36% |
| Max Increase |
-3.11% |
-9.30% |
-4.56% |
-4.33% |
-8.56% |
-11.67% |
-5.91% |
-6.31% |
-7.20% |
-9.66% |
-15.84% |
| Avg Days to Max Increase |
22 |
8 |
11 |
10 |
11 |
4 |
8 |
5 |
8 |
8 |
4 |
| 2008 Contract Condition |
Yes |
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
| Action |
No |
|
|
Yes |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
| High |
279.0 |
294.2 |
310.1 |
307.5 |
305.5 |
291.0 |
293.3 |
286.6 |
276.3 |
255.7 |
237.3 |
| Low |
265.0 |
265.5 |
280.0 |
293.5 |
280.8 |
274.1 |
264.8 |
265.6 |
253.3 |
213.6 |
211.8 |
| Close/Last |
266.4 |
290.0 |
302.5 |
297.0 |
293.5 |
284.5 |
275.9 |
276.0 |
256.1 |
216.4 |
219.2 |
|
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