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| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Lumber(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jun |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
17 |
25 |
28 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Higher |
12 |
16 |
17 |
19 |
15 |
16 |
12 |
18 |
17 |
11 |
18 |
| Exceeded High |
10 |
12 |
17 |
16 |
10 |
10 |
11 |
12 |
12 |
9 |
10 |
| Scenario Percentage |
83% |
75% |
100% |
84% |
67% |
63% |
92% |
67% |
71% |
82% |
56% |
| Avg Max Increase |
5.21% |
6.93% |
8.71% |
9.76% |
10.33% |
9.69% |
12.85% |
9.84% |
11.27% |
14.32% |
6.50% |
| Max Increase |
13.23% |
13.56% |
31.46% |
52.86% |
38.49% |
39.11% |
23.00% |
19.99% |
25.13% |
26.44% |
12.90% |
| Avg Days To Max Increase |
17 |
21 |
17 |
15 |
20 |
18 |
17 |
16 |
18 |
11 |
7 |
| Avg Max Decline |
-1.73% |
-2.31% |
-2.11% |
-1.43% |
-1.53% |
-1.98% |
-1.31% |
-1.47% |
-4.45% |
-2.33% |
-1.43% |
| Max Decline |
-5.88% |
-5.83% |
-8.33% |
-7.63% |
-6.88% |
-5.74% |
-3.66% |
-5.48% |
-9.89% |
-9.06% |
-4.26% |
| Avg Days to Max Decline |
6 |
10 |
11 |
6 |
9 |
11 |
5 |
11 |
10 |
7 |
2 |
| 2001 Contract Condition |
|
|
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
| Action |
|
|
|
Yes |
|
Yes |
Yes |
No |
|
Yes |
Not Yet |
Condition 2:
Lower Monthly Close.
Action --->
Sell that month's close with objective of penetrating month's
low within 2 months.
|
| Tested Month |
Jun |
Jun |
Dec |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
| Tested Years |
17 |
25 |
28 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Lower |
5 |
9 |
11 |
12 |
17 |
16 |
20 |
14 |
15 |
21 |
14 |
| Penetrated Low |
3 |
6 |
6 |
10 |
14 |
11 |
15 |
13 |
13 |
15 |
10 |
| Scenario Percentage |
60% |
67% |
55% |
83% |
82% |
69% |
75% |
93% |
87% |
71% |
71% |
| Avg Max Decline |
7.29% |
6.26% |
6.79% |
7.58% |
7.61% |
9.72% |
11.83% |
10.61% |
11.77% |
11.49% |
6.97% |
| Max Decline |
11.00% |
9.73% |
12.87% |
22.97% |
22.74% |
17.90% |
25.46% |
25.87% |
26.91% |
25.23% |
13.75% |
| Avg Days To Max Decline |
18 |
12 |
14 |
21 |
21 |
17 |
15 |
21 |
16 |
14 |
12 |
| Avg Max Increase |
-1.26% |
-0.37% |
-1.02% |
-3.99% |
-2.03% |
-2.92% |
-2.90% |
-5.08% |
-3.15% |
-2.73% |
-1.04% |
| Max Increase |
-4.68% |
-1.22% |
-4.64% |
-14.33% |
-6.07% |
-11.86% |
-10.25% |
-9.43% |
-11.47% |
-16.79% |
-3.15% |
| Avg Days to Max Increase |
5 |
2 |
9 |
12 |
14 |
5 |
12 |
16 |
6 |
4 |
4 |
| 2001 Contract Condition |
Yes |
Yes |
Yes |
|
Yes |
|
|
|
Yes |
|
|
| Action |
Yes |
Yes |
Yes |
|
No |
|
|
|
Yes |
|
|
| High |
269.6 |
266.6 |
256.8 |
254.2 |
255.4 |
262.9 |
288.1 |
350.0 |
332.0 |
321.7 |
341.5 |
| Low |
259.5 |
255.3 |
238.7 |
236.5 |
237.3 |
238.7 |
250.0 |
286.5 |
294.0 |
280.1 |
299.1 |
| Close/Last |
268.2 |
255.3 |
241.5 |
250.5 |
242.2 |
251.6 |
286.2 |
306.0 |
303.2 |
314.1 |
318.4 |
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