MRCI's ScenarioSM Study

ScenarioSM Study for May Lumber(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	18	27	31	33	34	34	34	34	34	34	34
Closed Higher	6	12	15	12	20	25	24	21	15	15	15
Exceeded High	3	8	11	11	16	20	23	16	10	11	9
Scenario Percentage	50%	67%	73%	92%	80%	80%	96%	76%	67%	73%	60%
Avg Max Increase	2.11%	8.52%	7.54%	9.62%	7.14%	8.94%	10.79%	12.28%	10.82%	12.84%	8.62%
Max Increase	2.66%	16.32%	21.81%	26.86%	16.86%	15.19%	50.87%	58.10%	23.49%	47.03%	17.51%
Avg Days To Max Increase	13	20	13	15	21	19	18	15	20	12	11
Avg Max Decline	-0.36%	-1.54%	-1.28%	-2.48%	-1.54%	-3.28%	-3.44%	-2.07%	-3.34%	-2.12%	-1.31%
Max Decline	-0.47%	-3.87%	-4.77%	-6.48%	-5.18%	-8.19%	-13.01%	-9.52%	-7.87%	-6.87%	-3.43%
Avg Days to Max Decline	1	10	11	8	7	12	11	8	12	7	2
2007 Contract Condition					Yes	Yes	Yes
Action					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	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years	18	27	31	33	34	34	34	34	34	34	34
Closed Lower	12	15	16	21	14	9	10	13	19	19	19
Penetrated Low	9	12	13	12	8	4	8	10	16	18	17
Scenario Percentage	75%	80%	81%	57%	57%	44%	80%	77%	84%	95%	89%
Avg Max Decline	8.80%	9.29%	8.01%	6.37%	6.78%	8.70%	6.09%	9.89%	9.45%	10.98%	11.18%
Max Decline	13.62%	19.72%	15.62%	19.81%	17.78%	11.51%	15.61%	26.16%	30.25%	32.99%	39.14%
Avg Days To Max Decline	20	24	20	15	17	16	15	20	19	9	11
Avg Max Increase	-2.23%	-1.59%	-1.65%	-2.77%	-2.47%	-2.22%	-2.05%	-4.46%	-2.89%	-2.88%	-2.95%
Max Increase	-6.86%	-4.13%	-7.22%	-12.13%	-8.83%	-4.77%	-5.96%	-17.38%	-12.29%	-10.13%	-15.40%
Avg Days to Max Increase	10	9	6	4	6	4	12	11	12	6	5
2007 Contract Condition	Yes	Yes	Yes	Yes				Yes	Yes	Yes	Yes
Action	Yes	Yes	Yes	Yes				Yes	Yes	Yes	Yes
High	341.0	327.0	318.0	312.7	300.9	300.8	305.7	312.2	282.9	262.0	259.3
Low	315.5	302.0	289.6	280.0	266.5	285.9	290.1	271.2	257.6	240.1	231.8
Close/Last	325.0	313.3	312.0	283.4	290.9	298.7	298.8	271.2	261.4	240.5	232.2