MRCI Online
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| ScenarioSM Study for January Lumber(CME) as of Dec 30, 2011 | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Condition 1:
Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months. | ||||||||||||
| Tested Month | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| Tested Years | 24 | 26 | 34 | 37 | 38 | 38 | 38 | 38 | 38 | 38 | 38 | |
| Closed Higher | 12 | 13 | 16 | 19 | 16 | 12 | 17 | 11 | 24 | 29 | 21 | |
| Exceeded High | 9 | 9 | 12 | 12 | 11 | 9 | 8 | 10 | 19 | 21 | 13 | |
| Scenario Percentage | 75% | 69% | 75% | 63% | 69% | 75% | 47% | 91% | 79% | 72% | 62% | |
| Avg Max Increase | 9.30% | 10.12% | 9.11% | 7.66% | 5.75% | 10.51% | 8.20% | 12.21% | 11.63% | 9.20% | 5.62% | |
| Max Increase | 46.82% | 27.49% | 24.50% | 13.86% | 12.69% | 16.20% | 19.41% | 35.46% | 29.17% | 27.14% | 12.64% | |
| Avg Days To Max Increase | 17 | 18 | 13 | 16 | 16 | 15 | 9 | 15 | 19 | 10 | 8 | |
| Avg Max Decline | -0.92% | -1.19% | -1.50% | -1.35% | -2.86% | -2.38% | -2.05% | -3.32% | -3.22% | -4.11% | -1.03% | |
| Max Decline | -5.98% | -3.21% | -5.07% | -5.15% | -8.71% | -5.96% | -8.36% | -7.74% | -12.32% | -11.73% | -4.12% | |
| Avg Days to Max Decline | 6 | 11 | 6 | 6 | 8 | 8 | 7 | 6 | 10 | 9 | 3 | |
| 2011 Contract Condition | Yes | Yes | Yes | Yes | Yes | Yes | ||||||
| Action | Yes | No | Yes | Yes | Yes | Yes | ||||||
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Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
