|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for July 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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
20 |
27 |
32 |
34 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Higher |
8 |
12 |
19 |
25 |
22 |
21 |
16 |
16 |
15 |
20 |
16 |
| Exceeded High |
4 |
11 |
15 |
20 |
21 |
18 |
13 |
11 |
11 |
13 |
5 |
| Scenario Percentage |
50% |
92% |
79% |
80% |
95% |
86% |
81% |
69% |
73% |
65% |
31% |
| Avg Max Increase |
9.61% |
7.67% |
6.23% |
7.29% |
10.04% |
9.53% |
9.31% |
13.80% |
16.01% |
8.93% |
5.71% |
| Max Increase |
23.27% |
25.83% |
14.46% |
13.94% |
40.42% |
55.50% |
33.07% |
54.48% |
29.83% |
26.23% |
9.22% |
| Avg Days To Max Increase |
17 |
14 |
20 |
21 |
19 |
17 |
18 |
19 |
19 |
12 |
8 |
| Avg Max Decline |
-1.31% |
-1.76% |
-1.81% |
-2.79% |
-2.61% |
-2.31% |
-2.61% |
-1.93% |
-1.91% |
-2.12% |
-1.26% |
| Max Decline |
-3.23% |
-3.50% |
-7.04% |
-7.63% |
-11.69% |
-8.53% |
-7.23% |
-4.58% |
-3.69% |
-9.18% |
-2.33% |
| Avg Days to Max Decline |
15 |
8 |
9 |
12 |
9 |
9 |
10 |
12 |
5 |
6 |
2 |
| 2008 Contract Condition |
|
|
|
Yes |
|
|
Yes |
|
|
Yes |
|
| Action |
|
|
|
No |
|
|
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 |
Aug |
Sep |
Oct |
Nov |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
| Tested Years |
20 |
27 |
32 |
34 |
34 |
35 |
35 |
35 |
35 |
35 |
35 |
| Closed Lower |
12 |
15 |
13 |
8 |
12 |
14 |
19 |
19 |
20 |
15 |
19 |
| Penetrated Low |
10 |
8 |
8 |
5 |
8 |
13 |
15 |
16 |
14 |
14 |
12 |
| Scenario Percentage |
83% |
53% |
62% |
63% |
67% |
93% |
79% |
84% |
70% |
93% |
63% |
| Avg Max Decline |
7.47% |
4.94% |
4.56% |
8.95% |
7.67% |
7.40% |
8.74% |
10.06% |
12.42% |
9.84% |
12.78% |
| Max Decline |
15.01% |
8.65% |
9.68% |
15.43% |
13.65% |
23.99% |
26.07% |
19.64% |
32.97% |
24.37% |
37.94% |
| Avg Days To Max Decline |
23 |
16 |
14 |
14 |
21 |
19 |
18 |
16 |
12 |
13 |
15 |
| Avg Max Increase |
-1.05% |
-3.48% |
-1.93% |
-1.10% |
-1.80% |
-3.91% |
-1.83% |
-3.52% |
-2.68% |
-3.20% |
-3.64% |
| Max Increase |
-2.24% |
-12.19% |
-8.45% |
-3.49% |
-5.17% |
-15.42% |
-8.46% |
-11.35% |
-8.46% |
-8.95% |
-15.54% |
| Avg Days to Max Increase |
14 |
7 |
5 |
3 |
9 |
10 |
10 |
7 |
7 |
5 |
-54 |
| 2008 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
| Action |
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
No |
|
Yes |
| High |
318.5 |
300.0 |
309.8 |
293.1 |
290.0 |
278.0 |
266.9 |
260.2 |
269.5 |
257.5 |
253.0 |
| Low |
286.0 |
283.9 |
283.0 |
284.0 |
272.2 |
249.5 |
251.0 |
243.5 |
233.7 |
237.0 |
238.6 |
| Close/Last |
303.0 |
299.8 |
290.0 |
290.1 |
279.5 |
254.5 |
257.4 |
249.0 |
241.0 |
246.3 |
242.0 |
|
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