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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, 2016
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   28 32 38 42 42 43 43 43 43 43 43
Closed Higher   12 15 16 15 19 13 28 30 27 20 19
Exceeded High   9 11 12 12 11 13 24 25 23 15 7
Scenario Percentage   75% 73% 75% 80% 58% 100% 86% 83% 85% 75% 37%
Avg Max Increase   8.23% 6.54% 4.96% 9.50% 10.43% 9.41% 9.39% 9.77% 12.85% 14.14% 11.73%
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 17 19 17 14 20 18 17 10 9
Avg Max Decline   -0.63% -1.11% -2.30% -2.15% -2.12% -3.29% -3.17% -3.71% -4.18% -1.54% -1.64%
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 10 7 15 9 11 11 11 5 3
2016 Contract Condition     Yes Yes       Yes   Yes   Yes
Action     Yes No       No   No   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   28 32 38 42 42 43 43 43 43 43 43
Closed Lower   16 17 22 27 22 30 15 12 16 23 24
Penetrated Low   11 14 15 20 18 20 8 6 12 15 21
Scenario Percentage   69% 82% 68% 74% 82% 67% 53% 50% 75% 65% 88%
Avg Max Decline   7.76% 7.62% 8.25% 10.75% 9.55% 6.94% 8.74% 11.56% 11.16% 9.63% 4.61%
Max Decline   14.84% 18.78% 15.02% 21.23% 22.90% 20.19% 17.59% 34.27% 26.57% 19.91% 12.85%
Avg Days To Max Decline   15 20 17 25 19 15 18 23 20 9 10
Avg Max Increase   -1.36% -2.47% -2.03% -2.35% -3.11% -2.85% -3.16% -5.63% -1.71% -3.48% -2.08%
Max Increase   -4.68% -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   13 7 10 11 10 6 10 11 7 10 4
2016 Contract Condition   Yes     Yes Yes Yes   Yes   Yes  
Action   Yes     Yes Yes No   Yes   Not Yet  
High 310.5 287.0 291.3 314.4 304.0 279.0 257.0 270.4 256.3 270.0 259.3 266.8
Low 287.1 268.0 267.0 280.7 266.4 241.5 226.0 230.0 240.1 240.3 232.5 238.7
Close/Last 289.3 277.6 288.8 301.2 268.2 243.5 242.6 256.9 247.0 256.1 240.4 254.0

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