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| MRCI's ScenarioSM Study |
| ScenarioSM Study for November Lumber(CME) as of Jul 14, 2005 |
Condition 1:
Higher Monthly Close.
Action --->
Buy that month's close with objective of exceeding month's
high within 2 months. |
| Tested Month |
Jun |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
19 |
24 |
30 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Higher |
10 |
16 |
10 |
14 |
13 |
18 |
16 |
11 |
17 |
9 |
18 |
| Exceeded High |
9 |
11 |
5 |
8 |
11 |
10 |
10 |
9 |
11 |
8 |
12 |
| Scenario Percentage |
90% |
69% |
50% |
57% |
85% |
56% |
63% |
82% |
65% |
89% |
67% |
| Avg Max Increase |
8.15% |
8.50% |
14.85% |
8.15% |
10.70% |
7.71% |
9.39% |
13.04% |
8.90% |
9.72% |
10.29% |
| Max Increase |
26.02% |
53.18% |
45.39% |
30.17% |
19.63% |
16.41% |
17.38% |
23.34% |
22.55% |
31.50% |
30.42% |
| Avg Days To Max Increase |
18 |
14 |
21 |
17 |
19 |
14 |
15 |
12 |
12 |
12 |
11 |
| Avg Max Decline |
-2.07% |
-1.40% |
-1.39% |
-1.62% |
-1.46% |
-1.08% |
-2.91% |
-2.38% |
-3.33% |
-3.05% |
-0.78% |
| Max Decline |
-10.93% |
-4.85% |
-4.26% |
-5.41% |
-3.65% |
-6.16% |
-8.08% |
-7.94% |
-10.83% |
-6.21% |
-3.20% |
| Avg Days to Max Decline |
11 |
5 |
7 |
9 |
12 |
6 |
8 |
9 |
9 |
9 |
2 |
| 2001 Contract Condition |
|
Yes |
|
Yes |
Yes |
Yes |
|
Yes |
Yes |
|
|
| Action |
|
Yes |
|
Yes |
Yes |
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 |
Jun |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
| Tested Years |
19 |
24 |
30 |
31 |
32 |
32 |
32 |
32 |
32 |
32 |
32 |
| Closed Lower |
8 |
8 |
20 |
17 |
19 |
14 |
16 |
21 |
15 |
23 |
14 |
| Penetrated Low |
4 |
5 |
17 |
12 |
15 |
14 |
13 |
15 |
11 |
19 |
6 |
| Scenario Percentage |
50% |
63% |
85% |
71% |
79% |
100% |
81% |
71% |
73% |
83% |
43% |
| Avg Max Decline |
6.29% |
6.16% |
7.74% |
9.77% |
9.67% |
8.75% |
10.82% |
13.74% |
12.45% |
7.41% |
8.98% |
| Max Decline |
11.02% |
11.33% |
23.62% |
24.95% |
22.98% |
23.46% |
20.20% |
27.62% |
21.66% |
15.72% |
13.44% |
| Avg Days To Max Decline |
23 |
13 |
20 |
17 |
18 |
20 |
20 |
25 |
16 |
14 |
16 |
| Avg Max Increase |
-1.06% |
-2.83% |
-1.56% |
-2.47% |
-3.66% |
-4.25% |
-2.05% |
-3.17% |
-3.21% |
-3.65% |
-2.04% |
| Max Increase |
-2.52% |
-6.45% |
-5.84% |
-9.15% |
-9.13% |
-9.87% |
-7.32% |
-18.52% |
-6.82% |
-11.40% |
-3.36% |
| Avg Days to Max Increase |
7 |
11 |
10 |
6 |
16 |
11 |
5 |
9 |
12 |
5 |
7 |
| 2001 Contract Condition |
Yes |
|
Yes |
|
|
|
Yes |
|
|
Yes |
Yes |
| Action |
Yes |
|
No |
|
|
|
Yes |
|
|
Yes |
Not Yet |
| High |
256.8 |
249.1 |
252.5 |
265.3 |
281.5 |
327.5 |
324.5 |
304.9 |
320.2 |
311.0 |
252.0 |
| Low |
240.0 |
234.5 |
235.2 |
236.0 |
251.1 |
279.1 |
287.3 |
273.0 |
296.0 |
238.7 |
213.8 |
| Close/Last |
243.5 |
247.2 |
241.2 |
251.6 |
279.6 |
295.7 |
291.9 |
299.4 |
306.2 |
242.5 |
225.0 |
|
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