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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Lumber(CME) as of Apr 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   22 29 34 36 36 37 37 37 37 37 37
Closed Higher   8 13 20 27 22 22 17 18 16 21 16
Exceeded High   4 12 16 21 21 19 14 13 11 14 5
Scenario Percentage   50% 92% 80% 78% 95% 86% 82% 72% 69% 67% 31%
Avg Max Increase   9.61% 8.60% 6.43% 7.20% 10.04% 9.53% 10.06% 13.49% 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 15 19 21 19 18 18 19 19 12 8
Avg Max Decline   -1.31% -1.80% -1.74% -3.00% -2.65% -2.26% -2.66% -2.25% -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 10 10 14 5 6 2
2011 Contract Condition   Yes Yes Yes   Yes     Yes      
Action   Yes Yes Yes   Yes     Not Yet      
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   22 29 34 36 36 37 37 37 37 37 37
Closed Lower   14 16 14 8 14 15 20 19 21 16 21
Penetrated Low   12 9 9 5 10 14 16 16 15 15 7
Scenario Percentage   86% 56% 64% 63% 71% 93% 80% 84% 71% 94% 33%
Avg Max Decline   8.05% 5.86% 5.48% 8.95% 8.67% 7.62% 8.46% 10.06% 11.93% 10.68% 8.94%
Max Decline   16.39% 10.57% 12.06% 15.43% 23.33% 23.99% 26.07% 19.64% 32.97% 24.37% 14.70%
Avg Days To Max Decline   21 16 13 14 19 18 17 16 13 14 10
Avg Max Increase   -1.47% -3.54% -2.73% -1.10% -1.43% -4.38% -1.79% -3.53% -2.92% -3.28% -0.39%
Max Increase   -4.68% -12.19% -8.45% -3.49% -5.17% -15.42% -8.46% -11.35% -8.46% -8.95% -3.50%
Avg Days to Max Increase   13 6 7 3 8 9 10 7 8 5 3
2011 Contract Condition         Yes   Yes Yes   Yes Yes  
Action         Yes   Yes Yes   Not Yet    
High 265.0 270.0 281.0 302.0 307.0 340.0 352.1 340.0 338.5 324.5 263.8  
Low 256.0 253.0 260.0 273.0 283.0 282.9 317.5 308.4 312.0 239.0 257.6  
Close/Last 256.0 260.0 273.0 302.0 283.0 332.1 332.0 315.0 323.4 263.9 263.5  

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