|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for May Lumber(CME) as of Jan 07, 2009 |
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 |
19 |
28 |
32 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Higher |
7 |
13 |
15 |
12 |
21 |
25 |
24 |
21 |
16 |
15 |
15 |
| Exceeded High |
3 |
9 |
11 |
11 |
17 |
20 |
23 |
16 |
10 |
11 |
9 |
| Scenario Percentage |
43% |
69% |
73% |
92% |
81% |
80% |
96% |
76% |
63% |
73% |
60% |
| Avg Max Increase |
2.58% |
7.88% |
7.54% |
9.62% |
6.79% |
8.94% |
10.79% |
12.28% |
10.82% |
12.84% |
8.62% |
| Max Increase |
3.17% |
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 |
13 |
18 |
13 |
15 |
21 |
19 |
18 |
15 |
20 |
12 |
11 |
| Avg Max Decline |
-0.54% |
-1.44% |
-1.28% |
-2.48% |
-1.75% |
-3.25% |
-3.40% |
-2.05% |
-3.34% |
-2.12% |
-1.31% |
| Max Decline |
-0.73% |
-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 |
9 |
11 |
8 |
7 |
12 |
11 |
8 |
12 |
7 |
2 |
| 2008 Contract Condition |
Yes |
Yes |
|
|
Yes |
|
|
|
Yes |
|
|
| Action |
Yes |
Yes |
|
|
Yes |
|
|
|
No |
|
|
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 |
19 |
28 |
32 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Lower |
12 |
15 |
17 |
22 |
14 |
10 |
11 |
14 |
19 |
20 |
20 |
| Penetrated Low |
9 |
12 |
14 |
14 |
7 |
5 |
9 |
11 |
16 |
19 |
17 |
| Scenario Percentage |
75% |
80% |
82% |
64% |
50% |
50% |
82% |
79% |
84% |
95% |
85% |
| Avg Max Decline |
8.80% |
9.25% |
7.73% |
5.74% |
7.39% |
10.63% |
6.89% |
9.70% |
9.45% |
10.72% |
11.17% |
| Max Decline |
13.62% |
19.72% |
15.62% |
19.81% |
17.78% |
18.35% |
15.61% |
26.16% |
30.25% |
32.99% |
39.14% |
| Avg Days To Max Decline |
20 |
24 |
20 |
15 |
19 |
19 |
16 |
20 |
19 |
10 |
11 |
| Avg Max Increase |
-2.23% |
-1.45% |
-1.66% |
-3.25% |
-2.58% |
-1.59% |
-1.90% |
-4.65% |
-2.89% |
-3.31% |
-2.95% |
| Max Increase |
-6.86% |
-3.12% |
-7.22% |
-12.13% |
-8.83% |
-4.77% |
-5.96% |
-17.38% |
-12.29% |
-10.99% |
-15.40% |
| Avg Days to Max Increase |
10 |
9 |
8 |
5 |
7 |
4 |
11 |
11 |
12 |
6 |
5 |
| 2008 Contract Condition |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
| Action |
|
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Not Yet |
| High |
310.6 |
310.9 |
312.8 |
287.9 |
295.5 |
296.8 |
286.8 |
271.2 |
254.5 |
246.4 |
246.5 |
| Low |
284.0 |
301.0 |
281.0 |
277.0 |
275.0 |
278.6 |
268.5 |
236.3 |
232.8 |
220.2 |
208.3 |
| Close/Last |
303.2 |
304.6 |
289.0 |
281.3 |
293.5 |
289.4 |
269.1 |
238.9 |
244.4 |
222.1 |
210.3 |
|
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