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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Lumber(CME) as of Jan 01, 2019
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   31 33 41 44 45 45 45 45 45 45 45
Closed Higher   16 16 18 21 20 16 21 14 29 32 26
Exceeded High   12 10 14 14 14 13 11 13 24 23 14
Scenario Percentage   75% 63% 78% 67% 70% 81% 52% 93% 83% 72% 54%
Avg Max Increase   9.19% 10.11% 8.42% 7.69% 5.83% 10.15% 9.92% 11.48% 10.95% 9.37% 6.17%
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   16 18 13 16 16 16 15 13 19 11 9
Avg Max Decline   -1.01% -1.68% -1.41% -1.74% -2.80% -2.84% -2.04% -3.07% -3.46% -3.87% -0.94%
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   7 10 5 6 9 10 8 6 11 8 3
2018 Contract Condition   Yes       Yes Yes Yes Yes Yes   Yes
Action   Yes       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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   31 33 41 44 45 45 45 45 45 45 45
Closed Lower   14 17 23 23 25 29 24 31 16 13 19
Penetrated Low   12 14 18 21 15 22 18 22 12 5 9
Scenario Percentage   86% 82% 78% 91% 60% 76% 75% 71% 75% 38% 47%
Avg Max Decline   7.65% 7.98% 9.28% 8.49% 9.97% 12.70% 10.89% 7.89% 7.77% 15.25% 8.15%
Max Decline   15.76% 16.83% 25.65% 20.85% 17.89% 25.40% 25.90% 20.55% 18.49% 28.58% 18.42%
Avg Days To Max Decline   20 13 17 21 20 24 21 13 13 11 11
Avg Max Increase   -1.82% -1.31% -2.20% -3.00% -2.32% -2.67% -3.47% -3.16% -3.55% -1.69% -0.91%
Max Increase   -3.61% -4.91% -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 10 10 9 9 14 6 7 4 3
2018 Contract Condition     Yes Yes Yes           Yes  
Action     Yes Yes No           Not Yet  
High 371.8 391.0 391.0 408.0 388.0 361.5 382.8 381.5 399.3 448.0 461.9 455.4
Low 360.0 375.4 376.0 383.7 335.0 338.0 350.0 352.1 381.3 392.9 411.2 417.2
Close/Last 371.8 390.0 388.9 383.7 336.5 358.7 367.5 380.0 392.9 444.0 427.7 448.0

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