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MRCI's ScenarioSM Study
ScenarioSM Study for September Lumber(CME) as of Oct 24, 2003
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 25 28 30 31 31 31 31 31 31 31
Closed Higher 12 16 17 19 14 16 11 18 17 10 17
Exceeded High 10 12 17 16 9 10 10 12 12 8 9
Scenario Percentage 83% 75% 100% 84% 64% 63% 91% 67% 71% 80% 53%
Avg Max Increase 5.21% 6.93% 8.71% 9.76% 10.55% 9.69% 13.89% 9.84% 11.27% 15.02% 6.76%
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 19 18 18 16 18 12 8
Avg Max Decline -1.73% -2.31% -2.11% -1.43% -0.93% -1.98% -1.40% -1.47% -4.45% -2.00% -1.53%
Max Decline -5.88% -5.83% -8.33% -7.63% -2.94% -5.74% -3.66% -5.48% -9.89% -9.06% -4.26%
Avg Days to Max Decline 6 10 11 6 7 11 5 11 10 6 2
2003 Contract Condition   Yes   Yes     Yes Yes Yes   Yes
Action   Yes   Yes     Yes Yes Yes   Yes
Copyright © 2003 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 25 28 30 31 31 31 31 31 31 31
Closed Lower 5 9 11 11 17 15 20 13 14 21 14
Penetrated Low 3 6 6 9 14 11 15 12 13 15 10
Scenario Percentage 60% 67% 55% 82% 82% 73% 75% 92% 93% 71% 71%
Avg Max Decline 7.29% 6.26% 6.79% 8.18% 7.61% 9.72% 11.83% 10.96% 11.77% 11.82% 7.28%
Max Decline 11.00% 9.73% 12.87% 22.97% 22.74% 17.90% 25.46% 25.87% 26.91% 25.43% 13.75%
Avg Days To Max Decline 18 12 14 20 21 17 15 21 16 14 13
Avg Max Increase -1.26% -0.37% -1.02% -3.73% -2.03% -2.92% -2.90% -5.38% -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 10 14 5 12 17 6 4 4
2003 Contract Condition     Yes   Yes Yes       Yes  
Action     No   Yes Yes       Not Yet  
High 268.0 267.8 274.5 281.6 287.0 262.8 264.6 260.0 305.4 305.5 352.8
Low 262.0 258.0 252.2 253.2 258.1 244.4 247.9 239.2 258.0 260.5 281.0
Close/Last 262.0 267.8 259.8 281.5 260.5 247.8 248.3 254.6 289.1 279.5 349.5