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