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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Lumber(CME) as of Jan 01, 2013
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   24 28 34 38 38 39 39 39 39 39 39
Closed Higher   11 14 14 13 17 12 25 27 25 20 17
Exceeded High   9 10 11 10 10 12 22 23 22 15 6
Scenario Percentage   82% 71% 79% 77% 59% 100% 88% 85% 88% 75% 35%
Avg Max Increase   8.23% 6.31% 5.01% 9.23% 10.49% 9.46% 9.30% 9.78% 13.12% 14.14% 10.81%
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 20 18 17 10 9
Avg Max Decline   -0.63% -0.94% -2.06% -2.14% -1.78% -3.32% -3.28% -3.89% -3.97% -1.54% -1.80%
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 12 12 11 5 3
2012 Contract Condition               Yes   Yes   Yes
Action               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   24 28 34 38 38 39 39 39 39 39 39
Closed Lower   13 14 20 25 20 27 14 11 14 19 22
Penetrated Low   8 12 15 19 17 19 7 5 11 13 19
Scenario Percentage   62% 86% 75% 76% 85% 70% 50% 45% 79% 68% 86%
Avg Max Decline   7.49% 7.69% 8.25% 10.49% 9.68% 6.95% 9.58% 12.70% 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   14 20 17 24 18 15 19 22 19 8 10
Avg Max Increase   -1.13% -2.87% -2.03% -2.26% -2.97% -2.74% -3.37% -4.89% -1.83% -3.68% -1.99%
Max Increase   -3.11% -9.30% -5.41% -5.78% -10.32% -11.67% -5.91% -12.30% -7.20% -9.66% -5.78%
Avg Days to Max Increase   17 8 10 11 10 6 10 9 7 8 4
2012 Contract Condition   Yes Yes Yes Yes Yes Yes   Yes   Yes  
Action   Yes No Yes Yes Yes Yes   Yes   Not Yet  
High 322.0 322.5 299.1 299.0 312.0 293.1 311.0 264.4 270.2 272.9 268.5 276.3
Low 322.0 290.6 274.9 277.0 294.0 256.2 250.0 246.0 234.2 235.0 233.4 249.0
Close/Last 322.0 299.1 297.0 296.0 294.0 281.9 250.0 257.7 243.0 261.1 248.2 265.8

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