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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Lumber(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   20 27 31 35 36 36 36 36 36 36 36
Closed Higher   14 17 19 20 17 16 13 21 18 11 19
Exceeded High   10 13 19 17 12 10 11 13 13 9 10
Scenario Percentage   71% 76% 100% 85% 71% 63% 85% 62% 72% 82% 53%
Avg Max Increase   5.21% 7.06% 8.18% 9.33% 8.91% 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 16 15 19 18 17 15 17 11 7
Avg Max Decline   -1.73% -2.22% -1.93% -1.58% -2.06% -1.98% -1.35% -1.64% -4.21% -2.33% -1.43%
Max Decline   -5.88% -5.83% -8.33% -7.63% -7.72% -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      
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   20 27 31 35 36 36 36 36 36 36 36
Closed Lower   6 10 12 15 19 20 23 15 18 25 17
Penetrated Low   3 7 7 13 16 15 17 14 16 19 10
Scenario Percentage   50% 70% 58% 87% 84% 75% 74% 93% 89% 76% 59%
Avg Max Decline   7.29% 7.15% 7.05% 7.55% 7.42% 9.11% 11.10% 11.08% 11.90% 11.30% 7.13%
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 19 21 17 15 22 17 15 10
Avg Max Increase   -1.26% -0.35% -0.95% -2.88% -1.90% -3.17% -2.83% -4.76% -3.06% -2.89% -0.63%
Max Increase   -4.68% -1.22% -4.64% -14.33% -6.07% -11.86% -10.25% -9.43% -11.47% -16.79% -2.63%
Avg Days to Max Increase   5 3 8 9 12 6 12 15 7 5 3
2008 Contract Condition     Yes Yes Yes   Yes Yes   Yes Yes Yes
Action     Yes Yes Yes   Yes No   Yes Yes Yes
High 317.0 315.0 303.3 299.0 287.0 273.2 271.7 275.0 274.8 267.8 262.8 270.3
Low 280.2 290.0 294.1 285.5 261.0 263.0 255.6 251.6 255.8 252.1 244.5 250.2
Close/Last 296.0 299.7 298.4 285.5 268.8 269.9 261.0 257.6 266.5 258.2 253.0 252.0

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