MRCI's ScenarioSM Study

ScenarioSM Study for March Lumber(CME) as of Jan 01, 2019
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		30	34	40	44	44	45	45	45	45	45	45
Closed Higher		13	16	17	17	20	15	29	31	28	22	21
Exceeded High		9	12	13	14	12	15	25	25	24	17	7
Scenario Percentage		69%	75%	76%	82%	60%	100%	86%	81%	86%	77%	33%
Avg Max Increase		8.23%	6.66%	4.96%	8.88%	10.74%	9.35%	9.12%	9.77%	13.17%	14.17%	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	18	20	18	13	20	18	18	11	9
Avg Max Decline		-0.63%	-1.21%	-2.21%	-2.39%	-1.99%	-2.98%	-3.34%	-3.71%	-3.99%	-1.30%	-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	16	9	12	11	11	5	3
2018 Contract Condition		Yes		Yes	Yes	Yes	Yes	Yes		Yes	Yes	Yes
Action		No		Yes	Yes	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	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years		30	34	40	44	44	45	45	45	45	45	45
Closed Lower		17	18	23	27	23	30	16	13	17	23	24
Penetrated Low		11	14	15	20	19	20	9	6	12	15	21
Scenario Percentage		65%	78%	65%	74%	83%	67%	56%	46%	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						No
High	404.0	405.0	389.2	364.8	381.9	382.5	390.8	435.0	445.4	445.7	489.9	532.6
Low	382.0	386.9	340.6	342.8	360.7	361.4	379.0	385.0	401.5	408.5	443.1	472.9
Close/Last	391.4	394.2	340.6	364.8	370.1	380.9	384.5	434.0	417.4	441.9	470.9	516.6