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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Lumber(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   19 28 32 34 35 35 35 35 35 35 35
Closed Higher   7 13 15 12 21 25 24 21 16 15 15
Exceeded High   4 8 11 11 16 20 23 16 10 11 9
Scenario Percentage   57% 62% 73% 92% 76% 80% 96% 76% 63% 73% 60%
Avg Max Increase   2.48% 8.52% 7.54% 9.62% 7.14% 8.94% 10.79% 12.28% 10.82% 12.84% 8.62%
Max Increase   3.59% 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   14 20 13 15 21 19 18 15 20 12 11
Avg Max Decline   -0.45% -1.54% -1.28% -2.48% -1.54% -3.28% -3.44% -2.07% -3.34% -2.12% -1.31%
Max Decline   -0.73% -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
2008 Contract Condition   Yes Yes     Yes       Yes    
Action   Yes No     No       No    
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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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   19 28 32 34 35 35 35 35 35 35 35
Closed Lower   12 15 17 22 14 10 11 14 19 20 20
Penetrated Low   9 12 14 13 8 5 9 11 16 19 13
Scenario Percentage   75% 80% 82% 59% 57% 50% 82% 79% 84% 95% 65%
Avg Max Decline   8.80% 9.29% 7.84% 6.11% 6.78% 10.63% 6.91% 9.70% 9.45% 10.73% 8.25%
Max Decline   13.62% 19.72% 15.62% 19.81% 17.78% 18.35% 15.61% 26.16% 30.25% 32.99% 28.62%
Avg Days To Max Decline   20 24 20 15 17 19 16 20 19 10 10
Avg Max Increase   -2.23% -1.59% -1.75% -3.00% -2.47% -1.59% -1.91% -4.65% -2.89% -3.31% -1.03%
Max Increase   -6.86% -4.13% -7.22% -12.13% -8.83% -4.77% -5.96% -17.38% -12.29% -10.99% -4.51%
Avg Days to Max Increase   10 9 8 4 6 4 11 11 12 6 2
2008 Contract Condition       Yes Yes   Yes Yes Yes   Yes Yes
Action       Yes Yes   Yes Yes Yes   Yes Not Yet
High 300.3 313.3 314.1 314.0 289.0 297.5 296.9 286.8 271.2 254.5 246.4 246.5
Low 268.1 284.0 301.0 281.0 276.5 273.0 278.0 268.2 236.3 232.8 220.2 208.3
Close/Last 290.3 303.2 304.6 289.0 281.3 293.5 289.4 269.1 238.9 244.4 222.1 210.3

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