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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Lumber(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   20 24 30 34 34 35 35 35 35 35 35
Closed Higher   8 12 13 12 16 11 22 26 23 19 15
Exceeded High   6 9 11 9 9 11 19 22 20 14 5
Scenario Percentage   75% 75% 85% 75% 56% 100% 86% 85% 87% 74% 33%
Avg Max Increase   7.90% 5.45% 5.01% 8.53% 9.24% 9.07% 8.80% 10.15% 13.83% 14.19% 10.59%
Max Increase   14.95% 11.35% 11.06% 14.31% 19.66% 29.85% 22.31% 23.15% 65.75% 62.41% 19.78%
Avg Days To Max Increase   11 15 16 19 14 16 20 19 19 11 9
Avg Max Decline   -0.66% -1.08% -2.06% -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 5 8 8 15 10 10 13 11 5 2
2008 Contract Condition     Yes Yes         Yes     Yes
Action     Yes Yes         No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   20 24 30 34 34 35 35 35 35 35 35
Closed Lower   12 12 17 22 17 24 13 8 12 16 20
Penetrated Low   7 11 13 16 14 16 6 3 9 12 18
Scenario Percentage   58% 92% 76% 73% 82% 67% 46% 38% 75% 75% 90%
Avg Max Decline   7.41% 7.02% 7.92% 10.07% 8.70% 6.70% 8.33% 8.43% 10.23% 9.32% 4.29%
Max Decline   14.84% 18.78% 15.02% 21.23% 17.94% 20.19% 17.59% 13.08% 17.89% 19.91% 10.41%
Avg Days To Max Decline   13 20 17 23 20 15 19 24 20 7 8
Avg Max Increase   -1.29% -2.99% -1.74% -2.16% -2.61% -2.68% -3.08% -4.18% -1.95% -3.59% -1.60%
Max Increase   -3.11% -9.30% -4.56% -4.33% -8.56% -11.67% -5.91% -6.31% -7.20% -9.66% -3.64%
Avg Days to Max Increase   19 8 11 10 11 3 10 5 8 8 3
2008 Contract Condition   Yes     Yes Yes Yes Yes   Yes Yes  
Action   Yes     Yes Yes Yes Yes   Yes Yes  
High 286.0 283.0 299.9 310.8 317.5 305.5 291.2 293.3 286.6 276.4 255.7 237.3
Low 270.2 263.0 262.5 279.0 293.5 280.8 273.3 264.6 265.6 253.3 213.6 211.8
Close/Last 273.0 266.4 290.0 302.5 297.0 293.5 284.5 275.9 276.0 256.1 216.4 219.2

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