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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Lumber(CME) as of Jun 30, 2017
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   28 35 39 43 44 44 44 44 44 44 44
Closed Higher   20 21 23 21 22 21 15 24 21 14 22
Exceeded High   14 16 22 18 17 13 12 16 14 11 11
Scenario Percentage   70% 76% 96% 86% 77% 62% 80% 67% 67% 79% 50%
Avg Max Increase   6.23% 6.89% 7.71% 9.25% 9.96% 10.06% 11.95% 9.86% 10.55% 13.90% 6.62%
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   19 19 16 16 17 19 16 16 17 12 8
Avg Max Decline   -2.16% -1.99% -2.24% -1.57% -1.91% -2.70% -1.27% -1.88% -4.25% -2.34% -1.31%
Max Decline   -6.25% -5.83% -8.33% -7.63% -7.72% -10.10% -3.66% -5.48% -9.89% -9.06% -4.26%
Avg Days to Max Decline   10 10 11 7 8 12 4 10 11 6 2
2017 Contract Condition     Yes   Yes Yes Yes     Yes    
Action     No   Yes Yes Yes     Not Yet    
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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   28 35 39 43 44 44 44 44 44 44 44
Closed Lower   8 14 16 22 22 23 29 20 23 30 22
Penetrated Low   5 11 10 16 19 18 21 18 17 23 13
Scenario Percentage   63% 79% 63% 73% 86% 78% 72% 90% 74% 77% 59%
Avg Max Decline   7.02% 6.22% 8.32% 7.98% 8.70% 8.94% 11.53% 11.62% 12.22% 11.26% 6.34%
Max Decline   11.00% 12.53% 23.38% 22.97% 22.74% 17.90% 25.46% 25.87% 26.91% 25.43% 13.75%
Avg Days To Max Decline   15 15 19 19 21 17 14 21 17 13 8
Avg Max Increase   -2.31% -1.20% -0.89% -2.60% -2.23% -2.89% -2.57% -4.20% -3.26% -3.25% -0.65%
Max Increase   -6.38% -8.43% -4.64% -14.33% -7.53% -11.86% -10.25% -9.43% -11.47% -16.79% -2.63%
Avg Days to Max Increase   7 5 8 9 12 6 10 12 7 5 3
2017 Contract Condition   Yes   Yes       Yes Yes      
Action   Yes   No       Yes Yes      
High 375.0 374.9 365.0 362.9 355.2 393.0 393.8 416.0 394.9 361.9    
Low 350.4 335.0 333.0 340.0 340.7 352.9 370.0 382.7 336.3 334.1    
Close/Last 375.0 335.0 360.9 349.4 352.0 386.1 392.9 387.9 340.8 356.1    

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