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| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Lumber(CME) as of Feb 28, 2007 |
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 |
17 |
26 |
30 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Higher |
6 |
12 |
15 |
12 |
19 |
24 |
23 |
21 |
15 |
15 |
15 |
| Exceeded High |
2 |
8 |
11 |
11 |
15 |
19 |
22 |
16 |
10 |
11 |
9 |
| Scenario Percentage |
33% |
67% |
73% |
92% |
79% |
79% |
96% |
76% |
67% |
73% |
60% |
| Avg Max Increase |
2.29% |
8.52% |
7.54% |
9.62% |
7.28% |
9.17% |
11.08% |
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 |
18 |
15 |
20 |
12 |
11 |
| Avg Max Decline |
-0.44% |
-1.54% |
-1.28% |
-2.48% |
-1.53% |
-3.28% |
-3.57% |
-2.05% |
-3.34% |
-2.12% |
-1.31% |
| Max Decline |
-0.47% |
-3.87% |
-4.77% |
-6.48% |
-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 |
| 2007 Contract Condition |
|
|
|
|
Yes |
Yes |
Yes |
|
|
|
|
| Action |
|
|
|
|
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 |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
| Tested Years |
17 |
26 |
30 |
32 |
33 |
33 |
33 |
33 |
33 |
33 |
33 |
| Closed Lower |
11 |
14 |
15 |
20 |
14 |
9 |
10 |
12 |
18 |
18 |
18 |
| Penetrated Low |
8 |
11 |
12 |
12 |
7 |
4 |
8 |
9 |
15 |
17 |
16 |
| Scenario Percentage |
73% |
79% |
80% |
60% |
50% |
44% |
80% |
75% |
83% |
94% |
89% |
| Avg Max Decline |
8.54% |
9.13% |
7.45% |
6.07% |
7.39% |
8.70% |
6.07% |
9.71% |
9.33% |
11.29% |
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 |
18 |
9 |
11 |
| Avg Max Increase |
-2.43% |
-1.44% |
-1.73% |
-3.33% |
-2.58% |
-2.22% |
-2.04% |
-4.47% |
-3.07% |
-2.59% |
-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 |
10 |
11 |
6 |
5 |
| 2007 Contract Condition |
Yes |
Yes |
Yes |
Yes |
|
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|
Yes |
Yes |
|
|
| Action |
Yes |
Yes |
Yes |
Yes |
|
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|
Yes |
Not Yet |
|
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| High |
341.0 |
327.0 |
318.0 |
312.7 |
300.9 |
300.4 |
305.7 |
312.2 |
282.9 |
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| Low |
315.5 |
302.0 |
289.6 |
280.0 |
268.2 |
286.2 |
290.6 |
271.2 |
257.7 |
|
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| Close/Last |
325.0 |
313.3 |
312.0 |
283.4 |
290.9 |
298.7 |
298.8 |
271.2 |
261.4 |
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