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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Lumber(CME) as of Jun 30, 2022
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   34 38 43 44 44 45 45 45 45 45 45
Closed Higher   16 18 19 17 22 15 28 33 28 22 21
Exceeded High   12 13 14 15 13 15 24 27 25 19 7
Scenario Percentage   75% 72% 74% 88% 59% 100% 86% 82% 89% 86% 33%
Avg Max Increase   10.79% 8.67% 9.99% 11.29% 10.46% 10.35% 14.70% 13.84% 14.47% 12.71% 11.45%
Max Increase   22.09% 32.75% 75.37% 45.08% 21.70% 29.85% 81.74% 63.06% 65.75% 62.41% 27.46%
Avg Days To Max Increase   11 17 19 21 19 13 22 19 17 12 8
Avg Max Decline   -0.30% -1.51% -2.00% -2.39% -2.19% -2.64% -3.82% -3.48% -5.00% -1.62% -1.15%
Max Decline   -3.19% -5.03% -8.90% -5.45% -6.23% -8.87% -10.22% -11.42% -21.17% -6.62% -4.66%
Avg Days to Max Decline   2 5 9 10 15 8 12 11 13 4 3
2022 Contract Condition   Yes         Yes Yes Yes Yes   Yes
Action   Yes         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   34 38 43 44 44 45 45 45 45 45 45
Closed Lower   18 20 24 27 21 30 17 11 17 23 24
Penetrated Low   12 16 16 20 17 20 9 5 12 15 21
Scenario Percentage   67% 80% 67% 74% 81% 67% 53% 45% 71% 65% 88%
Avg Max Decline   7.77% 9.14% 10.29% 10.80% 9.10% 7.91% 7.96% 12.46% 11.16% 10.14% 5.50%
Max Decline   14.84% 38.36% 27.39% 21.23% 22.90% 20.19% 17.59% 34.27% 26.57% 19.91% 17.38%
Avg Days To Max Decline   14 19 16 23 20 17 16 22 20 9 10
Avg Max Increase   -1.64% -2.41% -2.60% -3.06% -3.35% -3.06% -3.08% -5.80% -1.71% -3.40% -1.96%
Max Increase   -4.75% -9.30% -14.66% -12.20% -10.32% -11.67% -5.91% -12.30% -7.20% -9.66% -5.78%
Avg Days to Max Increase   13 7 9 11 12 5 9 11 7 10 4
2022 Contract Condition     Yes Yes Yes Yes         Yes  
Action     Yes Yes Yes No         Yes  
High 741.1 1022.5 1225.5 940.0 814.1 685.0 667.3 824.7 822.4 1172.2 1338.2 1341.0
Low 665.8 750.0 867.9 665.0 550.4 515.5 559.1 645.0 606.0 839.0 963.7 900.9
Close/Last 741.1 1022.5 892.9 710.0 644.1 558.7 642.1 645.0 820.7 1142.9 979.9 1336.7

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