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