|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for September Lumber(CME) as of Jan 07, 2009 |
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 |
19 |
27 |
30 |
34 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
| Closed Higher |
13 |
17 |
18 |
20 |
17 |
16 |
13 |
21 |
18 |
11 |
19 |
| Exceeded High |
10 |
13 |
18 |
17 |
12 |
10 |
11 |
13 |
13 |
9 |
10 |
| Scenario Percentage |
77% |
76% |
100% |
85% |
71% |
63% |
85% |
62% |
72% |
82% |
53% |
| Avg Max Increase |
5.21% |
7.06% |
8.44% |
9.32% |
8.89% |
9.69% |
12.85% |
9.60% |
10.89% |
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 |
20 |
17 |
15 |
19 |
18 |
17 |
15 |
17 |
11 |
7 |
| Avg Max Decline |
-1.73% |
-2.18% |
-1.99% |
-1.58% |
-1.93% |
-1.98% |
-1.31% |
-1.64% |
-4.21% |
-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 |
9 |
10 |
6 |
11 |
11 |
5 |
10 |
9 |
7 |
2 |
| 2008 Contract Condition |
Yes |
|
|
|
Yes |
|
|
Yes |
|
|
|
| Action |
No |
|
|
|
Yes |
|
|
No |
|
|
|
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 |
19 |
27 |
30 |
34 |
36 |
36 |
36 |
36 |
36 |
36 |
36 |
| Closed Lower |
6 |
10 |
12 |
14 |
19 |
20 |
23 |
15 |
18 |
25 |
17 |
| Penetrated Low |
3 |
7 |
7 |
12 |
16 |
15 |
17 |
14 |
16 |
19 |
12 |
| Scenario Percentage |
50% |
70% |
58% |
86% |
84% |
75% |
74% |
93% |
89% |
76% |
71% |
| Avg Max Decline |
7.29% |
7.15% |
7.05% |
7.15% |
7.40% |
9.07% |
11.07% |
11.08% |
11.90% |
11.28% |
7.29% |
| Max Decline |
11.00% |
12.53% |
12.87% |
22.97% |
22.74% |
17.90% |
25.46% |
25.87% |
26.91% |
25.43% |
13.75% |
| Avg Days To Max Decline |
18 |
15 |
16 |
20 |
21 |
17 |
15 |
22 |
17 |
15 |
13 |
| Avg Max Increase |
-1.26% |
-0.32% |
-0.95% |
-3.59% |
-1.90% |
-3.12% |
-2.81% |
-4.76% |
-3.06% |
-2.89% |
-0.89% |
| 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 |
8 |
11 |
13 |
6 |
12 |
15 |
7 |
5 |
4 |
| 2008 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
Yes |
| Action |
|
Yes |
Yes |
Yes |
|
Yes |
No |
|
Yes |
Yes |
Yes |
| High |
313.6 |
299.5 |
298.5 |
287.0 |
273.2 |
271.7 |
275.0 |
274.8 |
267.8 |
262.8 |
270.3 |
| Low |
290.2 |
294.8 |
285.5 |
261.0 |
263.0 |
255.6 |
251.8 |
255.9 |
252.1 |
244.5 |
250.2 |
| Close/Last |
299.7 |
298.4 |
285.5 |
268.8 |
269.9 |
261.0 |
257.6 |
266.5 |
258.2 |
253.0 |
252.0 |
|
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