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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Lumber(CME) as of Dec 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 33 39 43 43 44 44 44 44 44 44
Closed Higher   12 16 16 16 19 14 28 31 27 21 20
Exceeded High   9 12 12 13 11 14 24 25 23 16 7
Scenario Percentage   75% 75% 75% 81% 58% 100% 86% 81% 85% 76% 35%
Avg Max Increase   8.23% 6.66% 4.96% 9.13% 10.43% 8.88% 9.39% 9.77% 12.85% 14.23% 11.73%
Max Increase   19.90% 14.05% 11.06% 15.59% 21.70% 29.85% 22.31% 23.15% 65.75% 62.41% 27.46%
Avg Days To Max Increase   10 17 17 20 17 14 20 18 17 10 9
Avg Max Decline   -0.63% -1.21% -2.30% -2.39% -2.12% -3.20% -3.17% -3.71% -4.18% -1.40% -1.64%
Max Decline   -3.19% -4.45% -8.90% -5.45% -6.23% -8.87% -10.22% -11.42% -10.84% -6.62% -4.66%
Avg Days to Max Decline   3 4 10 10 15 9 11 11 11 5 3
2018 Contract Condition   Yes   Yes Yes Yes Yes Yes   Yes    
Action   No   Yes Yes Yes Yes Yes        
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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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 33 39 43 43 44 44 44 44 44 44
Closed Lower   17 17 23 27 23 30 16 12 17 23 24
Penetrated Low   11 14 15 20 19 20 9 6 12 15 21
Scenario Percentage   65% 82% 65% 74% 83% 67% 56% 50% 71% 65% 88%
Avg Max Decline   7.76% 7.62% 8.25% 10.75% 9.30% 6.94% 7.96% 11.56% 11.16% 9.63% 4.61%
Max Decline   14.84% 18.78% 15.02% 21.23% 22.90% 20.19% 17.59% 34.27% 26.57% 19.91% 12.85%
Avg Days To Max Decline   15 20 17 25 20 15 16 23 20 9 10
Avg Max Increase   -1.36% -2.47% -2.03% -2.35% -3.33% -2.85% -3.08% -5.63% -1.71% -3.48% -2.08%
Max Increase   -4.68% -9.30% -5.41% -5.78% -10.32% -11.67% -5.91% -12.30% -7.20% -9.66% -5.78%
Avg Days to Max Increase   13 7 10 11 11 6 9 11 7 10 4
2018 Contract Condition     Yes           Yes      
Action     No           Not Yet      
High 404.0 405.0 389.2 364.8 381.9 382.5 390.8 435.0 445.4 427.7    
Low 382.0 386.9 340.6 342.8 360.7 361.4 379.0 385.0 401.5 408.5    
Close/Last 391.4 394.2 340.6 364.8 370.1 380.9 384.5 434.0 417.4 424.8    

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