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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Lumber(CME) as of Jun 01, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 22 27 33 37 37 38 38 38 38 38 38
Closed Higher 11 14 14 13 17 12 24 27 24 20 16
Exceeded High 9 10 11 9 10 12 21 23 21 15 5
Scenario Percentage 82% 71% 79% 69% 59% 100% 88% 85% 88% 75% 31%
Avg Max Increase 8.23% 6.31% 5.01% 9.96% 10.49% 9.46% 9.46% 9.78% 13.47% 14.14% 12.12%
Max Increase 19.90% 14.05% 11.06% 15.59% 21.70% 29.85% 22.31% 23.15% 65.75% 62.41% 27.46%
Avg Days To Max Increase 10 16 16 21 16 15 19 18 18 10 9
Avg Max Decline -0.63% -0.94% -1.96% -1.77% -1.78% -3.30% -3.00% -3.89% -3.65% -1.54% -1.85%
Max Decline -3.19% -4.45% -8.25% -4.40% -6.23% -8.58% -10.22% -11.42% -10.84% -6.62% -4.66%
Avg Days to Max Decline 3 5 8 8 14 11 11 12 11 5 2
2011 Contract Condition Yes     Yes Yes Yes Yes   Yes    
Action Yes     Yes Yes Yes Yes   Yes    
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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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 22 27 33 37 37 38 38 38 38 38 38
Closed Lower 11 13 19 24 19 26 14 10 14 18 22
Penetrated Low 7 12 14 18 16 19 9 4 11 13 20
Scenario Percentage 64% 92% 74% 75% 84% 73% 64% 40% 79% 72% 91%
Avg Max Decline 7.41% 7.69% 7.88% 10.22% 9.46% 6.76% 8.58% 14.89% 11.04% 9.44% 8.89%
Max Decline 14.84% 18.78% 15.02% 21.23% 22.90% 20.19% 17.59% 34.27% 26.57% 19.91% 32.85%
Avg Days To Max Decline 13 20 17 24 19 14 16 25 19 8 9
Avg Max Increase -1.29% -2.87% -1.79% -2.00% -2.41% -2.76% -2.89% -3.04% -1.83% -3.68% -2.69%
Max Increase -3.11% -9.30% -4.56% -4.33% -8.56% -11.67% -5.91% -6.31% -7.20% -9.66% -15.84%
Avg Days to Max Increase 19 8 10 10 10 4 8 4 7 8 5
2011 Contract Condition   Yes Yes         Yes   Yes Yes
Action   Yes No         No   Yes Yes
High 310.0 317.4 264.0 246.0 250.0 272.8 295.0 303.4 330.5 340.0 325.0
Low 267.0 260.0 221.0 236.0 230.0 238.9 253.5 263.4 264.0 295.0 283.3
Close/Last 310.0 260.2 229.0 236.0 242.4 266.5 293.4 268.2 320.0 310.0 288.9

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