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MRCI's ScenarioSM Study
ScenarioSM Study for May Lumber(CME) as of Mar 31, 2006
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jun Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 17 25 29 31 32 32 32 32 32 32 32
Closed Higher 6 12 15 11 19 23 22 21 15 15 14
Exceeded High 2 8 11 10 15 18 21 16 10 11 9
Scenario Percentage 33% 67% 73% 91% 79% 78% 95% 76% 67% 73% 64%
Avg Max Increase 2.29% 8.52% 7.54% 10.14% 7.28% 8.95% 11.34% 12.28% 10.82% 12.84% 8.62%
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 13 15 21 20 19 15 20 12 11
Avg Max Decline -0.44% -1.54% -1.28% -2.08% -1.53% -3.38% -3.69% -2.05% -3.34% -2.12% -1.31%
Max Decline -0.47% -3.87% -4.77% -3.27% -5.18% -8.03% -13.01% -9.52% -7.87% -6.87% -3.43%
Avg Days to Max Decline 2 10 11 8 8 12 11 8 12 7 2
2006 Contract Condition       Yes   Yes Yes        
Action       Yes   Yes Yes        
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Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jun Jun Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 17 25 29 31 32 32 32 32 32 32 32
Closed Lower 11 13 14 20 13 9 10 11 17 17 18
Penetrated Low 8 10 12 12 7 4 8 8 14 16 16
Scenario Percentage 73% 77% 86% 60% 54% 44% 80% 73% 82% 94% 89%
Avg Max Decline 8.54% 9.45% 7.45% 6.07% 7.39% 8.70% 6.07% 9.51% 9.58% 11.83% 11.72%
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 22 15 19 16 15 19 19 9 11
Avg Max Increase -2.43% -1.34% -1.73% -3.33% -2.58% -2.22% -2.04% -4.76% -3.01% -2.60% -3.06%
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 7 6 5 7 4 12 11 11 6 5
2006 Contract Condition   Yes Yes   Yes     Yes Yes Yes  
Action   Yes No   No     Yes Yes Not Yet  
High 340.0 333.1 320.0 346.0 335.0 353.0 364.1 382.8 370.0 349.3  
Low 325.2 312.2 293.7 312.5 315.9 326.0 333.0 354.0 334.3 320.9  
Close/Last 328.0 312.2 311.7 337.8 329.4 338.0 362.8 362.0 336.0 324.9