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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Lumber(CME) as of Aug 31, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   29 34 42 43 44 44 44 44 44 44 44
Closed Higher   15 18 14 19 16 24 20 15 20 14 26
Exceeded High   13 12 10 11 12 14 12 13 13 13 17
Scenario Percentage   87% 67% 71% 58% 75% 58% 60% 87% 65% 93% 65%
Avg Max Increase   7.46% 8.11% 12.66% 8.53% 9.96% 8.55% 8.78% 12.70% 9.70% 10.66% 9.11%
Max Increase   26.02% 53.18% 45.39% 30.17% 19.63% 16.53% 17.38% 23.34% 22.55% 31.50% 30.42%
Avg Days To Max Increase   16 12 17 18 18 16 15 14 15 11 10
Avg Max Decline   -2.23% -1.73% -1.04% -2.42% -1.40% -1.58% -2.90% -2.60% -3.25% -3.96% -1.00%
Max Decline   -10.93% -5.26% -4.26% -9.23% -3.65% -6.16% -8.08% -7.94% -10.83% -8.59% -4.28%
Avg Days to Max Decline   14 7 5 12 11 7 10 8 10 7 3
2017 Contract Condition     Yes Yes Yes     Yes Yes Yes    
Action     Yes Yes Yes     Yes Not Yet 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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   29 34 42 43 44 44 44 44 44 44 44
Closed Lower   13 16 28 24 28 20 24 29 24 30 18
Penetrated Low   9 8 25 18 21 19 17 23 18 24 6
Scenario Percentage   69% 50% 89% 75% 75% 95% 71% 79% 75% 80% 33%
Avg Max Decline   8.48% 7.26% 7.97% 9.04% 9.43% 9.52% 11.46% 14.19% 12.86% 7.37% 3.89%
Max Decline   19.68% 15.14% 23.62% 24.95% 22.98% 23.46% 20.20% 27.62% 26.75% 15.72% 11.78%
Avg Days To Max Decline   24 14 19 17 17 19 20 24 18 14 10
Avg Max Increase   -1.24% -2.89% -2.09% -2.46% -3.10% -3.69% -2.35% -3.11% -4.07% -3.84% -1.92%
Max Increase   -3.26% -6.45% -8.50% -9.15% -9.13% -9.87% -7.32% -18.52% -12.50% -11.40% -4.53%
Avg Days to Max Increase   6 11 10 7 14 9 7 10 12 5 4
2017 Contract Condition   Yes       Yes Yes          
Action   No       Yes No          
High 367.5 367.9 357.8 386.0 389.0 418.0 387.7 352.7 378.8 374.0    
Low 347.0 345.0 346.0 361.4 374.1 381.2 328.1 332.3 340.1 347.5    
Close/Last 365.9 354.4 357.8 380.0 388.9 382.1 331.1 349.6 362.3 371.8    

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