MRCI Online
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| ScenarioSM Study for July Lumber(CME) as of Jan 01, 2010 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 21 | 28 | 33 | 35 | 35 | 36 | 36 | 36 | 36 | 36 | 36 |
| Closed Higher | 8 | 12 | 19 | 26 | 22 | 21 | 16 | 17 | 15 | 21 | 16 |
| Exceeded High | 4 | 11 | 15 | 20 | 21 | 18 | 13 | 12 | 11 | 14 | 5 |
| Scenario Percentage | 50% | 92% | 79% | 77% | 95% | 86% | 81% | 71% | 73% | 67% | 31% |
| Avg Max Increase | 9.61% | 7.67% | 6.26% | 7.29% | 10.04% | 9.53% | 9.31% | 13.57% | 16.01% | 9.21% | 5.71% |
| Max Increase | 23.27% | 25.83% | 14.46% | 13.94% | 40.42% | 55.50% | 33.07% | 54.48% | 29.87% | 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% | -2.84% | -2.65% | -2.32% | -2.62% | -2.37% | -1.91% | -1.92% | -1.26% |
| Max Decline | -3.23% | -3.50% | -7.04% | -8.09% | -11.69% | -8.53% | -7.31% | -7.28% | -3.69% | -9.18% | -2.33% |
| Avg Days to Max Decline | 15 | 8 | 9 | 12 | 10 | 9 | 10 | 15 | 5 | 6 | 2 |
| 2009 Contract Condition | Yes | Yes | Yes | ||||||||
| Action | No | Yes | Yes | ||||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
