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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Lumber(CME) as of Feb 21, 2020
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   31 35 41 44 44 45 45 45 45 45 45
Closed Higher   14 17 17 16 21 15 28 32 28 22 20
Exceeded High   10 12 13 14 12 15 24 26 24 17 6
Scenario Percentage   71% 71% 76% 88% 57% 100% 86% 81% 86% 77% 30%
Avg Max Increase   8.75% 6.66% 4.96% 8.88% 10.74% 9.35% 9.27% 10.49% 13.01% 12.50% 9.97%
Max Increase   19.90% 14.05% 11.06% 15.59% 21.70% 29.85% 22.31% 28.49% 65.75% 62.41% 17.63%
Avg Days To Max Increase   10 17 18 20 18 13 21 19 17 10 8
Avg Max Decline   -0.66% -1.21% -2.21% -2.39% -1.99% -2.98% -3.46% -3.72% -3.94% -1.14% -1.50%
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 4 10 10 16 9 12 12 11 4 3
2020 Contract Condition       Yes   Yes   Yes Yes Yes Yes Yes
Action       No   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   31 35 41 44 44 45 45 45 45 45 45
Closed Lower   17 18 24 28 22 30 17 12 17 23 25
Penetrated Low   11 14 16 21 18 21 9 5 12 15 21
Scenario Percentage   65% 78% 67% 75% 82% 70% 53% 42% 71% 65% 84%
Avg Max Decline   7.76% 7.62% 8.89% 10.94% 9.46% 7.37% 7.96% 12.46% 11.16% 9.07% 4.43%
Max Decline   14.84% 18.78% 18.52% 21.23% 22.90% 20.19% 17.59% 34.27% 26.57% 19.91% 10.41%
Avg Days To Max Decline   15 20 16 24 19 16 16 22 20 8 8
Avg Max Increase   -1.36% -2.47% -1.97% -2.82% -3.24% -2.97% -3.08% -5.80% -1.71% -3.47% -1.63%
Max Increase   -4.68% -9.30% -5.41% -12.20% -10.32% -11.67% -5.91% -12.30% -7.20% -9.66% -5.78%
Avg Days to Max Increase   13 7 10 11 12 6 9 11 7 8 3
2020 Contract Condition   Yes Yes   Yes   Yes          
Action   Yes Yes   No   No          
High 393.7 362.7 363.6 398.1 388.1 389.3 390.0 412.0 427.9 434.5 444.4 468.3
Low 350.8 325.6 323.1 319.8 341.0 349.7 367.0 367.1 386.5 397.7 414.1 407.0
Close/Last 359.4 347.1 324.0 373.6 355.1 385.0 377.5 403.5 420.7 426.2 435.5 460.1

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