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