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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Lumber(CME) as of Dec 31, 2010
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   22 26 32 36 36 37 37 37 37 37 37
Closed Higher   10 14 14 12 16 11 23 27 23 20 16
Exceeded High   8 10 11 9 9 11 20 23 20 15 5
Scenario Percentage   80% 71% 79% 75% 56% 100% 87% 85% 87% 75% 31%
Avg Max Increase   8.96% 6.31% 5.01% 8.53% 9.24% 9.07% 9.30% 9.78% 13.83% 14.14% 12.12%
Max Increase   19.90% 14.05% 11.06% 14.31% 19.66% 29.85% 22.31% 23.15% 65.75% 62.41% 27.46%
Avg Days To Max Increase   10 16 16 19 14 16 19 18 19 10 9
Avg Max Decline   -0.71% -0.94% -2.06% -2.10% -1.82% -3.18% -2.64% -3.89% -3.84% -1.54% -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 12 11 5 2
2010 Contract Condition   Yes Yes Yes       Yes Yes   Yes Yes
Action   Yes Yes No       Yes 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   22 26 32 36 36 37 37 37 37 37 37
Closed Lower   12 12 18 24 19 26 14 9 14 17 21
Penetrated Low   7 11 14 18 16 18 7 4 11 12 18
Scenario Percentage   58% 92% 78% 75% 84% 69% 50% 44% 79% 71% 86%
Avg Max Decline   7.41% 7.02% 7.88% 10.24% 9.49% 6.98% 9.58% 14.89% 11.04% 9.40% 4.42%
Max Decline   14.84% 18.78% 15.02% 21.23% 22.90% 20.19% 17.59% 34.27% 26.57% 19.91% 10.41%
Avg Days To Max Decline   13 20 17 24 19 15 19 25 19 8 10
Avg Max Increase   -1.29% -2.99% -1.79% -2.07% -2.51% -2.44% -3.37% -3.04% -1.83% -3.59% -1.78%
Max Increase   -3.11% -9.30% -4.56% -4.33% -8.56% -11.67% -5.91% -6.31% -7.20% -9.66% -5.00%
Avg Days to Max Increase   19 8 10 10 10 3 10 4 7 8 4
2010 Contract Condition         Yes Yes Yes     Yes    
Action         Yes Yes Yes     Yes    
High 209.0 215.0 219.5 250.0 242.9 229.3 218.0 231.0 265.5 269.7 257.5 281.9
Low 194.0 206.0 205.2 220.0 220.0 205.1 202.8 198.0 222.3 231.6 227.8 252.1
Close/Last 206.1 208.5 219.2 244.0 225.0 213.4 204.0 227.0 265.5 234.5 248.5 257.0

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