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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Lumber(CME) as of Sep 17, 2001 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
16 |
24 |
27 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Higher |
5 |
12 |
14 |
11 |
17 |
20 |
19 |
17 |
12 |
14 |
12 |
| Exceeded High |
2 |
8 |
10 |
10 |
14 |
15 |
18 |
12 |
7 |
10 |
8 |
| Scenario Percentage |
40% |
67% |
71% |
91% |
82% |
75% |
95% |
71% |
58% |
71% |
67% |
| Avg Max Increase |
2.29% |
8.52% |
7.64% |
10.14% |
6.92% |
8.88% |
10.53% |
12.40% |
12.31% |
11.95% |
8.84% |
| Max Increase |
2.66% |
16.32% |
21.81% |
26.86% |
16.86% |
15.19% |
50.87% |
58.10% |
23.49% |
47.03% |
17.51% |
| Avg Days To Max Increase |
18 |
20 |
15 |
15 |
20 |
19 |
18 |
16 |
18 |
12 |
11 |
| Avg Max Decline |
-0.44% |
-1.54% |
-1.52% |
-2.08% |
-1.47% |
-2.90% |
-3.93% |
-2.22% |
-2.17% |
-2.40% |
-1.23% |
| Max Decline |
-0.47% |
-3.87% |
-4.77% |
-3.27% |
-5.18% |
-7.20% |
-13.01% |
-9.52% |
-5.84% |
-6.87% |
-3.43% |
| Avg Days to Max Decline |
2 |
10 |
12 |
8 |
8 |
11 |
12 |
8 |
10 |
8 |
2 |
| 2001 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 |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
16 |
24 |
27 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
28 |
| Closed Lower |
11 |
12 |
13 |
17 |
11 |
8 |
9 |
11 |
16 |
14 |
16 |
| Penetrated Low | 8 |
9 |
11 |
9 |
6 |
4 |
7 |
8 |
13 |
13 |
15 |
| Scenario Percentage |
73% |
75% |
85% |
53% |
55% |
50% |
78% |
73% |
81% |
93% |
94% |
| Avg Max Decline |
8.54% |
9.47% |
7.61% |
6.80% |
7.12% |
8.70% |
6.71% |
9.51% |
9.71% |
12.18% |
12.05% |
| Max Decline |
13.62% |
19.72% |
15.62% |
19.81% |
17.78% |
11.51% |
15.61% |
26.16% |
30.25% |
32.99% |
39.14% |
| Avg Days To Max Decline |
22 |
24 |
21 |
16 |
20 |
16 |
17 |
19 |
18 |
9 |
11 |
| Avg Max Increase |
-2.43% |
-1.42% |
-1.97% |
-3.00% |
-3.08% |
-2.22% |
-2.34% |
-4.76% |
-2.96% |
-2.10% |
-3.20% |
| Max Increase |
-6.86% |
-3.12% |
-7.22% |
-12.13% |
-8.83% |
-4.77% |
-5.96% |
-17.38% |
-12.29% |
-10.13% |
-15.40% |
| Avg Days to Max Increase |
11 |
8 |
6 |
4 |
8 |
4 |
14 |
11 |
11 |
5 |
5 |
| 2001 Contract Condition |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
Yes |
|
|
| Action |
|
Yes |
Yes |
Yes |
Yes |
Yes |
Yes |
|
No |
|
|
| High |
296.8 |
292.5 |
277.5 |
266.6 |
258.5 |
254.2 |
247.0 |
239.2 |
241.6 |
250.1 |
292.8 |
| Low |
294.2 |
275.0 |
259.0 |
252.0 |
245.3 |
241.6 |
226.0 |
216.8 |
213.9 |
216.2 |
226.5 |
| Close/Last |
294.2 |
278.6 |
260.2 |
257.3 |
247.0 |
245.0 |
228.0 |
236.4 |
219.8 |
230.5 |
288.4 |
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