MRCI's ScenarioSM Study

ScenarioSM Study for January 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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		30	32	40	43	44	44	44	44	44	44	44
Closed Higher		15	16	18	21	19	15	20	13	28	32	25
Exceeded High		11	10	14	14	13	12	10	12	23	23	13
Scenario Percentage		73%	63%	78%	67%	68%	80%	50%	92%	82%	72%	52%
Avg Max Increase		9.61%	10.11%	8.42%	7.69%	5.76%	10.27%	9.12%	10.97%	11.25%	9.11%	5.44%
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	16	13	14	19	10	8
Avg Max Decline		-0.78%	-1.68%	-1.41%	-1.74%	-2.83%	-2.72%	-2.28%	-3.33%	-3.52%	-3.87%	-1.03%
Max Decline		-5.98%	-6.05%	-5.07%	-5.15%	-8.71%	-7.00%	-8.36%	-7.74%	-12.32%	-11.73%	-4.12%
Avg Days to Max Decline		6	10	5	6	9	10	9	6	11	8	3
2017 Contract Condition		Yes	Yes	Yes	Yes		Yes		Yes		Yes
Action		Yes	Yes	Yes	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	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Tested Years		30	32	40	43	44	44	44	44	44	44	44
Closed Lower		14	16	22	22	25	29	24	31	16	12	19
Penetrated Low		12	13	17	21	15	22	18	22	12	5	9
Scenario Percentage		86%	81%	77%	95%	60%	76%	75%	71%	75%	42%	47%
Avg Max Decline		7.65%	7.52%	9.08%	8.49%	9.97%	12.70%	10.89%	7.89%	7.77%	12.84%	6.32%
Max Decline		15.76%	16.83%	25.65%	20.85%	17.89%	25.40%	25.90%	20.55%	18.49%	18.24%	12.21%
Avg Days To Max Decline		20	12	16	21	20	24	21	13	13	10	9
Avg Max Increase		-1.82%	-1.03%	-2.26%	-3.00%	-2.32%	-2.67%	-3.47%	-3.16%	-3.55%	-1.69%	-0.79%
Max Increase		-3.61%	-3.82%	-11.07%	-8.78%	-7.32%	-16.05%	-11.88%	-12.89%	-10.24%	-4.40%	-2.43%
Avg Days to Max Increase		9	5	11	10	9	9	14	6	7	4	3
2017 Contract Condition						Yes		Yes		Yes		Yes
Action						No		Yes		Yes		Not Yet
High	272.8	272.3	299.6	310.0	328.7	319.8	342.6	347.7	348.3	354.0	344.4	338.3
Low	255.0	261.4	264.6	280.9	302.0	309.0	316.0	327.1	309.4	307.6	302.6	303.1
Close/Last	262.0	264.9	299.0	304.8	322.0	316.1	332.7	327.3	346.7	309.2	329.8	316.6