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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 30, 2011
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   23 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 10 10 12 21 23 21 15 5
Scenario Percentage   82% 71% 79% 77% 59% 100% 88% 85% 88% 75% 31%
Avg Max Increase   8.23% 6.31% 5.01% 9.23% 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 19 16 15 19 18 18 10 9
Avg Max Decline   -0.63% -0.94% -2.06% -2.14% -1.78% -3.32% -3.00% -3.89% -3.65% -1.54% -1.85%
Max Decline   -3.19% -4.45% -8.90% -5.45% -6.23% -8.87% -10.22% -11.42% -10.84% -6.62% -4.66%
Avg Days to Max Decline   3 5 8 8 14 10 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   23 27 33 37 37 38 38 38 38 38 38
Closed Lower   12 13 19 24 19 26 14 10 14 18 22
Penetrated Low   7 12 14 18 16 18 7 4 11 13 19
Scenario Percentage   58% 92% 74% 75% 84% 69% 50% 40% 79% 72% 86%
Avg Max Decline   7.41% 7.69% 7.88% 10.24% 9.49% 6.98% 9.58% 14.89% 11.04% 9.44% 4.36%
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% -2.87% -1.79% -2.07% -2.51% -2.44% -3.37% -3.04% -1.83% -3.68% -1.99%
Max Increase   -3.11% -9.30% -4.56% -4.33% -8.56% -11.67% -5.91% -6.31% -7.20% -9.66% -5.78%
Avg Days to Max Increase   19 8 10 10 10 3 10 4 7 8 4
2011 Contract Condition     Yes Yes         Yes   Yes Yes
Action     Yes No         No   Yes Yes
High 267.0 310.0 317.4 264.0 246.0 250.0 272.8 295.0 303.4 330.5 340.0 325.0
Low 261.0 267.0 260.0 221.0 236.0 230.0 238.9 253.5 263.4 264.0 295.0 283.3
Close/Last 267.0 310.0 260.2 229.0 236.0 242.4 266.5 293.4 268.2 320.0 310.0 288.9

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