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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, 2014
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   25 29 35 39 39 40 40 40 40 40 40
Closed Higher   12 14 14 14 18 12 26 28 26 20 18
Exceeded High   9 10 11 11 11 12 23 24 23 15 6
Scenario Percentage   75% 71% 79% 79% 61% 100% 88% 86% 88% 75% 33%
Avg Max Increase   8.23% 6.31% 5.01% 9.42% 10.43% 9.46% 9.70% 10.03% 12.85% 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 17 15 20 19 17 10 9
Avg Max Decline   -0.63% -0.94% -2.06% -1.86% -2.12% -3.32% -3.29% -3.82% -4.18% -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 7 15 10 12 12 11 5 3
2013 Contract Condition   Yes     Yes Yes   Yes Yes Yes   Yes
Action   No     Yes Yes   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   25 29 35 39 39 40 40 40 40 40 40
Closed Lower   13 15 21 25 20 28 14 11 14 20 22
Penetrated Low   8 13 15 19 17 19 7 5 11 13 19
Scenario Percentage   62% 87% 71% 76% 85% 68% 50% 45% 79% 65% 86%
Avg Max Decline   7.49% 7.82% 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% -2.66% -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
2013 Contract Condition     Yes Yes     Yes       Yes  
Action     Yes No     No       Not Yet  
High 298.4 307.8 307.6 295.4 302.0 324.9 307.5 337.3 349.5 399.5 388.0 400.8
Low 285.0 284.4 292.5 267.5 277.3 294.9 290.0 295.0 325.3 337.0 342.3 358.0
Close/Last 285.0 304.5 294.9 277.4 292.1 307.1 299.9 337.3 344.9 375.1 352.7 380.3

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