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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Lumber(CME) as of May 10, 2021
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   33 37 42 44 44 45 45 45 45 45 45
Closed Higher   15 18 19 17 22 15 28 33 28 22 21
Exceeded High   11 13 14 15 13 15 24 27 24 19 6
Scenario Percentage   73% 72% 74% 88% 59% 100% 86% 82% 86% 86% 29%
Avg Max Increase   9.96% 8.67% 9.99% 11.29% 10.46% 9.35% 11.72% 11.66% 14.35% 12.71% 11.61%
Max Increase   22.09% 32.75% 75.37% 45.08% 21.70% 29.85% 67.73% 50.30% 65.75% 62.41% 27.46%
Avg Days To Max Increase   12 17 19 21 19 13 22 19 17 12 9
Avg Max Decline   -0.39% -1.51% -2.00% -2.39% -2.19% -2.98% -3.62% -3.61% -4.32% -1.62% -1.50%
Max Decline   -3.19% -5.03% -8.90% -5.45% -6.23% -8.87% -10.22% -11.42% -11.47% -6.62% -4.66%
Avg Days to Max Decline   2 5 9 10 15 9 12 11 12 4 3
2021 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes Yes Yes Yes
Action   Yes Yes Yes Yes No   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   33 37 42 44 44 45 45 45 45 45 45
Closed Lower   18 19 23 27 21 30 17 11 17 23 24
Penetrated Low   12 15 15 19 17 20 9 5 12 15 21
Scenario Percentage   67% 79% 65% 70% 81% 67% 53% 45% 71% 65% 88%
Avg Max Decline   7.77% 7.19% 9.15% 10.32% 9.10% 7.91% 7.96% 12.46% 11.16% 9.63% 5.50%
Max Decline   14.84% 18.78% 18.52% 21.23% 22.90% 20.19% 17.59% 34.27% 26.57% 19.91% 17.38%
Avg Days To Max Decline   14 19 16 24 20 17 16 22 20 9 10
Avg Max Increase   -1.64% -2.22% -1.79% -2.89% -3.35% -3.06% -3.08% -5.80% -1.71% -3.48% -1.96%
Max Increase   -4.75% -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 9 12 12 5 9 11 7 10 4
2021 Contract Condition             Yes          
Action             Yes          
High 391.3 354.4 372.8 403.5 488.0 696.4 628.8 482.4 606.5 806.8 897.0 1030.4
Low 304.2 288.1 338.2 349.1 400.0 468.0 421.6 415.5 472.5 597.3 634.7 842.9
Close/Last 304.2 330.5 367.6 397.1 480.0 637.4 465.0 481.0 596.8 716.9 887.0 995.6

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