MRCI Online
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| ScenarioSM Study for September Lumber(CME) as of Jan 01, 2010 | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | 21 | 28 | 32 | 36 | 37 | 37 | 37 | 37 | 37 | 37 | 37 |
| Closed Higher | 14 | 18 | 19 | 20 | 18 | 17 | 13 | 22 | 19 | 11 | 19 |
| Exceeded High | 10 | 13 | 19 | 17 | 13 | 11 | 11 | 14 | 13 | 9 | 10 |
| Scenario Percentage | 71% | 72% | 100% | 85% | 72% | 65% | 85% | 64% | 68% | 82% | 53% |
| Avg Max Increase | 5.21% | 7.06% | 8.18% | 9.33% | 9.15% | 9.89% | 12.85% | 9.87% | 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 | 18 | 19 | 17 | 16 | 17 | 11 | 7 |
| Avg Max Decline | -1.73% | -2.22% | -1.93% | -1.58% | -2.27% | -2.26% | -1.35% | -1.52% | -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 | 10 | 13 | 5 | 9 | 9 | 7 | 2 |
| 2009 Contract Condition | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | No | Yes | Yes | Yes | No | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
