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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Lumber(CME) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   22 31 35 37 38 38 38 38 38 38 38
Closed Higher   8 14 16 13 23 26 25 22 17 17 16
Exceeded High   4 9 12 12 18 21 24 17 11 13 8
Scenario Percentage   50% 64% 75% 92% 78% 81% 96% 77% 65% 76% 50%
Avg Max Increase   2.48% 8.89% 8.79% 10.13% 7.72% 8.69% 10.59% 12.15% 11.63% 11.46% 7.00%
Max Increase   3.59% 16.32% 22.53% 26.86% 16.86% 15.19% 50.87% 58.10% 23.49% 38.39% 12.16%
Avg Days To Max Increase   14 20 15 14 20 19 17 14 20 11 9
Avg Max Decline   -0.45% -1.51% -1.17% -2.28% -2.09% -3.50% -3.29% -1.85% -3.35% -1.63% -1.04%
Max Decline   -0.73% -3.87% -4.77% -6.48% -10.86% -8.19% -13.01% -9.52% -7.87% -6.87% -2.30%
Avg Days to Max Decline   1 10 10 8 8 12 10 7 11 4 2
2011 Contract Condition     Yes Yes Yes Yes   Yes        
Action     Yes Yes 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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   22 31 35 37 38 38 38 38 38 38 38
Closed Lower   14 17 19 24 15 12 13 16 21 21 22
Penetrated Low   10 14 15 15 9 6 10 13 17 20 14
Scenario Percentage   71% 82% 79% 63% 60% 50% 77% 81% 81% 95% 64%
Avg Max Decline   8.75% 9.63% 8.57% 6.42% 8.21% 14.30% 8.91% 9.71% 10.56% 11.39% 7.71%
Max Decline   13.62% 19.72% 18.78% 19.81% 19.64% 32.64% 26.84% 26.16% 30.25% 32.99% 24.04%
Avg Days To Max Decline   21 24 20 15 17 21 17 21 19 10 8
Avg Max Increase   -2.36% -1.50% -1.69% -2.49% -2.46% -1.25% -1.71% -5.21% -3.05% -3.18% -1.27%
Max Increase   -6.86% -4.13% -7.22% -12.13% -8.83% -4.77% -5.96% -17.38% -12.29% -10.99% -4.51%
Avg Days to Max Increase   10 8 8 4 6 3 10 9 11 6 2
2011 Contract Condition   Yes         Yes   Yes Yes Yes Yes
Action   No         No   Yes Yes Yes Yes
High 307.0 280.0 255.0 265.0 275.0 304.0 310.0 338.2 352.6 338.9 325.4 305.7
Low 280.0 241.0 243.0 243.0 248.1 268.0 271.0 275.7 311.0 301.3 299.2 221.1
Close/Last 280.0 245.0 246.0 248.1 268.0 304.0 271.0 332.6 328.2 308.4 303.4 237.0

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