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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Lumber(CME) as of Sep 16, 2022
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   35 37 42 44 45 45 45 45 45 45 45
Closed Higher   17 18 20 22 20 16 22 14 26 33 27
Exceeded High   13 12 17 14 15 14 12 13 21 22 16
Scenario Percentage   76% 67% 85% 64% 75% 88% 55% 93% 81% 67% 59%
Avg Max Increase   9.31% 16.47% 10.67% 9.90% 11.20% 12.98% 9.98% 12.70% 11.15% 13.06% 6.12%
Max Increase   46.82% 72.04% 25.16% 40.49% 86.34% 49.80% 19.41% 35.46% 29.17% 50.96% 12.64%
Avg Days To Max Increase   17 17 14 17 17 17 16 13 20 10 8
Avg Max Decline   -1.30% -1.37% -1.01% -2.06% -2.63% -2.73% -2.36% -3.63% -3.69% -3.51% -1.13%
Max Decline   -5.98% -6.05% -5.07% -5.15% -8.71% -7.00% -8.36% -9.31% -12.32% -11.73% -4.12%
Avg Days to Max Decline   6 9 5 7 9 10 8 7 12 8 3
2022 Contract Condition     Yes Yes         Yes   Yes Yes
Action     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   35 37 42 44 45 45 45 45 45 45 45
Closed Lower   17 19 22 22 25 29 23 31 19 12 18
Penetrated Low   15 16 17 20 16 22 17 22 13 4 9
Scenario Percentage   88% 84% 77% 91% 64% 76% 74% 71% 68% 33% 50%
Avg Max Decline   9.05% 7.97% 8.67% 9.52% 12.34% 13.04% 11.56% 9.03% 7.72% 14.79% 6.65%
Max Decline   25.23% 16.83% 17.82% 42.07% 29.69% 25.40% 27.05% 20.55% 18.49% 19.43% 12.21%
Avg Days To Max Decline   17 13 16 20 19 23 22 14 12 12 10
Avg Max Increase   -1.52% -0.87% -1.99% -2.59% -2.79% -3.07% -3.44% -3.32% -3.27% -1.01% -0.91%
Max Increase   -3.61% -4.91% -5.70% -8.56% -14.87% -16.05% -11.88% -12.89% -10.24% -1.70% -2.43%
Avg Days to Max Increase   8 4 9 9 8 9 15 6 7 1 3
2022 Contract Condition   Yes     Yes Yes Yes Yes   Yes    
Action   Yes     Yes Yes Yes No   Yes    
High 710.0 725.0 741.1 1033.0 1275.0 990.0 804.1 675.0 695.0 824.0 831.8 1172.1
Low 535.0 669.5 665.8 750.0 869.9 698.4 540.5 492.2 549.9 636.0 591.0 854.6
Close/Last 710.0 687.2 741.1 1033.0 933.0 700.0 655.9 551.9 651.7 636.0 824.5 1147.9

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