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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Lumber(CME) as of May 10, 2021
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   34 36 42 44 45 45 45 45 45 45 45
Closed Higher   17 17 20 22 21 16 22 14 27 33 27
Exceeded High   13 11 16 14 15 14 12 13 22 22 15
Scenario Percentage   76% 65% 80% 64% 71% 88% 55% 93% 81% 67% 56%
Avg Max Increase   9.31% 11.42% 9.87% 9.90% 11.20% 12.98% 9.98% 11.48% 11.08% 11.07% 6.06%
Max Increase   46.82% 27.49% 25.16% 40.49% 86.34% 49.80% 19.41% 35.46% 29.17% 43.25% 12.64%
Avg Days To Max Increase   17 18 14 17 17 17 16 13 21 11 8
Avg Max Decline   -1.30% -1.61% -1.07% -2.06% -2.63% -2.73% -2.36% -3.07% -3.62% -3.70% -0.97%
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 7 9 10 8 6 11 8 3
2021 Contract Condition       Yes Yes Yes Yes Yes     Yes Yes
Action       Yes Yes Yes Yes No     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   34 36 42 44 45 45 45 45 45 45 45
Closed Lower   16 19 22 22 24 29 23 31 18 12 18
Penetrated Low   14 16 17 20 15 21 17 22 12 4 9
Scenario Percentage   88% 84% 77% 91% 63% 72% 74% 71% 67% 33% 50%
Avg Max Decline   9.47% 7.97% 8.67% 7.90% 11.18% 12.47% 11.56% 9.03% 7.77% 17.51% 8.02%
Max Decline   25.23% 16.83% 17.82% 20.85% 22.42% 25.40% 27.05% 20.55% 18.49% 28.58% 18.42%
Avg Days To Max Decline   18 13 16 20 19 24 22 14 13 13 11
Avg Max Increase   -1.85% -0.87% -1.99% -2.52% -1.98% -3.08% -3.44% -3.32% -3.55% -1.01% -0.91%
Max Increase   -3.61% -4.91% -5.70% -8.56% -7.32% -16.05% -11.88% -12.89% -10.24% -1.70% -2.43%
Avg Days to Max Increase   8 4 9 10 8 9 15 6 7 1 3
2021 Contract Condition   Yes Yes           Yes Yes    
Action   Yes Yes           Yes No    
High 410.9 427.7 392.8 355.8 374.2 415.4 518.4 764.0 690.8 540.0 648.0 900.5
Low 393.0 387.3 300.5 289.6 339.6 350.5 408.9 503.2 472.3 440.6 485.9 633.0
Close/Last 410.2 387.3 305.7 331.9 369.0 410.0 510.0 698.2 528.5 493.4 636.8 873.1

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