MRCI's ScenarioSM Study

ScenarioSM Study for July Lumber(CME) as of Jan 01, 2018
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		29	36	41	43	43	44	44	44	44	44	44
Closed Higher		11	16	25	29	26	23	21	22	17	22	21
Exceeded High		6	15	20	22	24	20	18	15	12	14	9
Scenario Percentage		55%	94%	80%	76%	92%	87%	86%	68%	71%	64%	43%
Avg Max Increase		10.56%	8.16%	6.72%	7.00%	9.59%	9.74%	10.07%	12.55%	15.03%	9.20%	5.23%
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		21	14	20	21	18	18	17	18	19	12	9
Avg Max Decline		-1.46%	-2.24%	-2.23%	-2.89%	-2.96%	-2.13%	-2.34%	-2.85%	-1.93%	-1.96%	-1.42%
Max Decline		-3.55%	-9.32%	-7.04%	-8.09%	-11.69%	-8.53%	-7.31%	-10.49%	-3.69%	-9.18%	-4.12%
Avg Days to Max Decline		16	9	11	11	10	9	9	14	6	4	4
2017 Contract Condition			Yes		Yes		Yes	Yes	Yes			Yes
Action			Yes		No		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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		29	36	41	43	43	44	44	44	44	44	44
Closed Lower		18	20	16	13	17	21	23	22	27	22	23
Penetrated Low		15	12	11	9	12	17	19	19	19	18	6
Scenario Percentage		83%	60%	69%	69%	71%	81%	83%	86%	70%	82%	26%
Avg Max Decline		7.90%	5.28%	4.82%	6.79%	8.84%	8.32%	9.93%	9.68%	12.73%	9.87%	8.99%
Max Decline		16.39%	10.57%	12.06%	15.43%	23.33%	23.99%	26.07%	19.64%	32.97%	24.37%	13.09%
Avg Days To Max Decline		21	16	13	13	20	18	18	17	15	13	9
Avg Max Increase		-2.21%	-3.46%	-2.31%	-2.56%	-1.38%	-3.85%	-2.15%	-3.22%	-2.71%	-2.42%	0.13%
Max Increase		-7.91%	-12.19%	-8.45%	-11.10%	-5.17%	-15.42%	-8.46%	-11.35%	-8.46%	-8.95%	-1.94%
Avg Days to Max Increase		14	9	6	8	8	8	10	6	7	4	2
2017 Contract Condition		Yes		Yes		Yes				Yes	Yes
Action		Yes		Yes		No				Yes	Not Yet
High	359.1	359.1	359.5	359.4	360.9	356.2	351.2	395.1	391.3	417.1	396.9	372.6
Low	341.2	345.5	334.4	328.0	326.0	333.3	336.4	348.8	368.1	379.0	340.3	349.9
Close/Last	350.4	345.5	359.5	328.0	351.6	342.7	347.4	386.1	390.2	386.1	345.1	365.9