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MRCI's ScenarioSM Study
ScenarioSM Study for September Lumber(CME) as of Sep 30, 2002
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 17 24 27 29 30 30 30 30 30 30 30
Closed Higher 12 15 17 18 14 16 10 17 16 10 16
Exceeded High 10 11 17 15 9 10 9 11 11 8 8
Scenario Percentage 83% 73% 100% 83% 64% 63% 90% 65% 69% 80% 50%
Avg Max Increase 5.21% 7.09% 8.71% 10.28% 10.55% 9.69% 12.88% 8.91% 10.29% 14.70% 6.68%
Max Increase 13.23% 13.56% 31.46% 52.86% 38.49% 39.11% 22.29% 19.91% 25.13% 26.44% 12.90%
Avg Days To Max Increase 17 20 17 16 19 18 18 17 17 12 8
Avg Max Decline -1.73% -1.99% -2.11% -1.43% -0.93% -1.98% -1.15% -1.73% -3.95% -2.00% -1.19%
Max Decline -5.88% -4.27% -8.33% -7.63% -2.94% -5.74% -2.78% -5.48% -9.66% -9.06% -3.26%
Avg Days to Max Decline 6 8 11 6 7 11 4 11 9 6 2
2002 Contract Condition     Yes Yes Yes       Yes    
Action     Yes Yes Yes       No    
Copyright © 2001 Moore Research Center, Inc. All Rights Reserved.
Some data provided by Prophetfinance.com
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 17 24 27 29 30 30 30 30 30 30 30
Closed Lower 5 9 10 11 16 14 20 13 14 20 14
Penetrated Low 3 6 6 9 13 10 15 12 13 15 10
Scenario Percentage 60% 67% 60% 82% 81% 71% 75% 92% 93% 75% 71%
Avg Max Decline 7.29% 6.26% 6.79% 8.18% 7.72% 10.35% 11.83% 10.96% 11.77% 11.13% 6.37%
Max Decline 11.00% 9.73% 12.87% 22.97% 22.74% 17.90% 25.46% 25.87% 26.91% 23.87% 9.87%
Avg Days To Max Decline 18 12 14 20 20 18 15 21 16 13 11
Avg Max Increase -1.26% -0.37% -1.02% -3.73% -2.12% -2.53% -2.90% -5.38% -3.15% -2.73% -0.94%
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 10 14 5 12 17 6 4 3
2002 Contract Condition   Yes       Yes Yes Yes   Yes Yes
Action   No       Yes Yes Yes   Yes Yes
High 266.0 264.0 282.0 293.6 308.9 319.3 308.9 303.3 293.0 292.9 268.1
Low 255.2 237.0 248.2 268.0 279.0 301.5 283.5 276.7 265.0 245.7 227.9
Close/Last 265.0 248.2 282.0 282.5 307.5 305.5 286.3 282.8 291.7 258.1 228.3