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MRCI's ScenarioSM Study
ScenarioSM Study for September Lumber(CME) as of Apr 30, 2006
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 32 33 33 33 33 33 33 33
Closed Higher 12 16 17 20 16 16 12 19 17 11 18
Exceeded High 10 12 17 17 11 10 11 12 12 9 10
Scenario Percentage 83% 75% 100% 85% 69% 63% 92% 63% 71% 82% 56%
Avg Max Increase 5.21% 6.93% 8.71% 9.32% 9.52% 9.69% 12.85% 9.84% 11.27% 14.37% 6.55%
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% -1.58% -1.61% -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
2006 Contract Condition   Yes Yes       Yes Yes      
Action   Yes Yes       Not Yet        
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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 Jun Jun Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 17 25 28 32 33 33 33 33 33 33 33
Closed Lower 5 9 11 12 17 17 21 14 16 22 15
Penetrated Low 3 6 6 10 14 12 16 13 14 16 10
Scenario Percentage 60% 67% 55% 83% 82% 71% 76% 93% 88% 73% 67%
Avg Max Decline 7.29% 6.26% 6.79% 7.58% 7.61% 9.94% 11.60% 10.61% 12.22% 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 21 21 16 15 21 17 15 13
Avg Max Increase -1.26% -0.37% -1.02% -3.99% -2.03% -2.71% -3.03% -5.08% -3.30% -2.60% -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 4 13 16 7 4 4
2006 Contract Condition Yes     Yes Yes Yes          
Action No     Yes Yes Not Yet          
High 339.6 350.0 355.0 368.3 359.4 353.9 363.5 359.8      
Low 323.2 332.0 337.0 346.7 343.0 335.9 338.1 355.1      
Close/Last 330.0 339.1 354.9 353.8 346.4 341.2 357.7 359.1