MRCI's ScenarioSM Study

ScenarioSM Study for March Lumber(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Feb	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	19	23	29	33	33	34	34	34	34	34	34
Closed Higher	8	11	12	12	16	11	22	25	23	19	14
Exceeded High	6	8	10	9	9	11	19	22	20	14	5
Scenario Percentage	75%	73%	83%	75%	56%	100%	86%	88%	87%	74%	36%
Avg Max Increase	7.90%	4.95%	5.02%	8.53%	9.24%	9.07%	8.80%	10.15%	13.83%	14.19%	12.12%
Max Increase	14.95%	11.35%	11.06%	14.31%	19.66%	29.85%	22.31%	23.15%	65.75%	62.41%	27.46%
Avg Days To Max Increase	11	16	17	19	14	16	20	19	19	11	9
Avg Max Decline	-0.66%	-0.75%	-2.19%	-2.10%	-1.82%	-3.18%	-2.67%	-3.90%	-3.84%	-1.78%	-1.85%
Max Decline	-3.19%	-4.45%	-8.90%	-5.45%	-6.23%	-8.87%	-7.40%	-11.42%	-10.84%	-6.62%	-4.66%
Avg Days to Max Decline	3	6	8	8	15	10	10	13	11	5	2
2007 Contract Condition					Yes		Yes	Yes			Yes
Action					No		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	Feb	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb
Tested Years	19	23	29	33	33	34	34	34	34	34	34
Closed Lower	11	12	17	21	16	23	12	8	11	15	20
Penetrated Low	6	11	13	15	13	15	5	3	8	11	19
Scenario Percentage	55%	92%	76%	71%	81%	65%	42%	38%	73%	73%	95%
Avg Max Decline	8.40%	7.02%	7.92%	10.21%	8.61%	6.68%	8.35%	8.43%	9.34%	8.96%	7.63%
Max Decline	14.84%	18.78%	15.02%	21.23%	17.94%	20.19%	17.59%	13.08%	17.89%	19.91%	24.38%
Avg Days To Max Decline	15	20	17	24	20	14	17	24	19	7	9
Avg Max Increase	-1.43%	-2.99%	-1.74%	-2.11%	-2.81%	-2.65%	-2.92%	-4.18%	-2.21%	-3.04%	-2.53%
Max Increase	-3.11%	-9.30%	-4.56%	-4.33%	-8.56%	-11.67%	-5.91%	-6.31%	-7.20%	-9.32%	-15.84%
Avg Days to Max Increase	22	8	11	10	8	3	9	5	9	8	5
2007 Contract Condition			Yes	Yes		Yes			Yes	Yes
Action			Yes	Yes		Yes			Yes	Yes
High		337.0	334.0	318.8	315.0	314.0	293.4	295.0	289.9	297.0	275.0
Low		327.2	310.1	296.0	285.0	267.8	256.6	277.2	273.4	251.5	250.6
Close/Last		330.0	316.8	304.0	311.0	273.5	282.2	288.7	282.0	251.7	253.3