MRCI's ScenarioSM Study

ScenarioSM Study for September Lumber(CME) as of Jan 01, 2018
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		29	36	40	44	45	45	45	45	45	45	45
Closed Higher		20	22	23	22	23	22	15	24	22	15	23
Exceeded High		14	16	22	19	18	14	12	16	15	12	12
Scenario Percentage		70%	73%	96%	86%	78%	64%	80%	67%	68%	80%	52%
Avg Max Increase		6.23%	6.89%	7.71%	9.39%	9.84%	9.77%	11.95%	9.86%	10.57%	13.48%	6.63%
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	17	17	18	16	16	17	12	8
Avg Max Decline		-2.16%	-1.99%	-2.24%	-1.47%	-2.04%	-2.70%	-1.27%	-1.88%	-4.18%	-2.54%	-1.19%
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	10	6	2
2017 Contract Condition			Yes		Yes	Yes	Yes			Yes	Yes	Yes
Action			No		Yes	Yes	Yes			Yes	Yes	Yes

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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		29	36	40	44	45	45	45	45	45	45	45
Closed Lower		9	14	17	22	22	23	30	21	23	30	22
Penetrated Low		6	11	10	16	19	18	22	19	17	23	13
Scenario Percentage		67%	79%	59%	73%	86%	78%	73%	90%	74%	77%	59%
Avg Max Decline		5.95%	6.22%	8.32%	7.98%	8.70%	8.94%	11.64%	11.11%	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		12	15	19	19	21	17	15	21	17	13	8
Avg Max Increase		-1.92%	-1.20%	-0.89%	-2.60%	-2.23%	-2.89%	-2.54%	-4.30%	-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		6	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	394.9	388.1
Low	350.4	335.0	333.0	340.0	340.7	352.9	370.0	382.7	336.3	334.1	344.4	360.4
Close/Last	375.0	335.0	360.9	349.4	352.0	386.1	392.9	387.9	340.8	356.1	378.3	385.7