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| MRCI's ScenarioSM Study |
| ScenarioSM Study for March Lumber(CME) as of Sep 10, 2010 |
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 |
21 |
26 |
32 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Higher |
10 |
14 |
14 |
12 |
16 |
11 |
23 |
27 |
23 |
20 |
16 |
| Exceeded High |
8 |
10 |
11 |
8 |
9 |
11 |
20 |
23 |
20 |
15 |
5 |
| Scenario Percentage |
80% |
71% |
79% |
67% |
56% |
100% |
87% |
85% |
87% |
75% |
31% |
| Avg Max Increase |
8.96% |
6.31% |
5.01% |
9.25% |
9.24% |
9.07% |
9.30% |
9.78% |
13.83% |
14.14% |
12.12% |
| Max Increase |
19.90% |
14.05% |
11.06% |
14.31% |
19.66% |
29.85% |
22.31% |
23.15% |
65.75% |
62.41% |
27.46% |
| Avg Days To Max Increase |
10 |
16 |
16 |
21 |
14 |
16 |
19 |
18 |
19 |
10 |
9 |
| Avg Max Decline |
-0.71% |
-0.94% |
-1.96% |
-1.68% |
-1.82% |
-3.16% |
-2.64% |
-3.89% |
-3.84% |
-1.54% |
-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 |
12 |
11 |
5 |
2 |
| 2010 Contract Condition |
Yes |
Yes |
Yes |
|
|
|
Yes |
Yes |
|
Yes |
Yes |
| Action |
Yes |
Yes |
No |
|
|
|
Yes |
Yes |
|
Yes |
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 |
21 |
26 |
32 |
36 |
36 |
37 |
37 |
37 |
37 |
37 |
37 |
| Closed Lower |
11 |
12 |
18 |
24 |
19 |
26 |
14 |
9 |
14 |
17 |
21 |
| Penetrated Low |
7 |
11 |
14 |
18 |
16 |
19 |
9 |
4 |
11 |
12 |
19 |
| Scenario Percentage |
64% |
92% |
78% |
75% |
84% |
73% |
64% |
44% |
79% |
71% |
90% |
| Avg Max Decline |
7.41% |
7.02% |
7.88% |
10.22% |
9.46% |
6.76% |
8.58% |
14.89% |
11.04% |
9.40% |
7.63% |
| Max Decline |
14.84% |
18.78% |
15.02% |
21.23% |
22.90% |
20.19% |
17.59% |
34.27% |
26.57% |
19.91% |
24.38% |
| Avg Days To Max Decline |
13 |
20 |
17 |
24 |
19 |
14 |
16 |
25 |
19 |
8 |
9 |
| Avg Max Increase |
-1.29% |
-2.99% |
-1.79% |
-2.00% |
-2.41% |
-2.76% |
-2.89% |
-3.04% |
-1.83% |
-3.59% |
-2.53% |
| 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 |
19 |
8 |
10 |
10 |
10 |
4 |
8 |
4 |
7 |
8 |
5 |
| 2010 Contract Condition |
|
|
|
Yes |
Yes |
Yes |
|
|
Yes |
|
|
| Action |
|
|
|
Yes |
Yes |
Yes |
|
|
Yes |
|
|
| High |
215.0 |
219.5 |
250.0 |
242.9 |
229.3 |
218.0 |
231.0 |
265.5 |
269.7 |
257.5 |
281.9 |
| Low |
206.0 |
205.2 |
220.0 |
220.0 |
205.1 |
202.8 |
198.0 |
222.3 |
231.6 |
227.8 |
252.1 |
| Close/Last |
208.5 |
219.2 |
244.0 |
225.0 |
213.4 |
204.0 |
227.0 |
265.5 |
234.5 |
248.5 |
257.0 |
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