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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Lumber(CME) as of Jun 01, 2011
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 22 31 35 37 38 38 38 38 38 38 38
Closed Higher 8 14 16 13 23 26 25 22 17 17 16
Exceeded High 3 9 12 12 18 21 24 17 11 13 8
Scenario Percentage 38% 64% 75% 92% 78% 81% 96% 77% 65% 76% 50%
Avg Max Increase 2.73% 8.89% 8.79% 10.13% 7.72% 8.69% 10.59% 12.15% 11.63% 11.46% 7.00%
Max Increase 3.59% 16.32% 22.53% 26.86% 16.86% 15.19% 50.87% 58.10% 23.49% 38.39% 12.16%
Avg Days To Max Increase 18 20 15 14 20 19 17 14 20 11 9
Avg Max Decline -0.54% -1.51% -1.17% -2.28% -2.09% -3.49% -3.29% -1.84% -3.35% -1.63% -1.04%
Max Decline -0.73% -3.87% -4.77% -6.48% -10.86% -8.03% -13.01% -9.52% -7.87% -6.87% -2.30%
Avg Days to Max Decline 2 10 10 8 8 12 10 7 11 4 2
2011 Contract Condition   Yes Yes Yes Yes   Yes        
Action   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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 22 31 35 37 38 38 38 38 38 38 38
Closed Lower 14 17 19 24 15 12 13 16 21 21 22
Penetrated Low 10 14 15 16 8 6 10 13 17 20 18
Scenario Percentage 71% 82% 79% 67% 53% 50% 77% 81% 81% 95% 82%
Avg Max Decline 8.75% 9.61% 8.55% 6.16% 8.92% 14.30% 8.89% 9.71% 10.56% 11.39% 10.94%
Max Decline 13.62% 19.72% 18.78% 19.81% 19.64% 32.64% 26.84% 26.16% 30.25% 32.99% 39.14%
Avg Days To Max Decline 21 24 21 15 18 21 17 21 19 10 9
Avg Max Increase -2.36% -1.50% -1.66% -2.79% -2.56% -1.25% -1.69% -5.21% -3.05% -3.18% -2.73%
Max Increase -6.86% -4.13% -7.22% -12.13% -8.83% -4.77% -5.96% -17.38% -12.29% -10.99% -15.40%
Avg Days to Max Increase 10 8 8 4 7 3 10 9 11 6 4
2011 Contract Condition Yes         Yes   Yes Yes Yes Yes
Action No         No   Yes Yes Yes Yes
High 280.0 255.0 265.0 275.0 304.0 310.0 338.2 352.6 338.9 325.4 305.7
Low 241.0 243.0 243.0 248.1 268.0 271.0 275.7 311.0 301.3 299.2 221.1
Close/Last 245.0 246.0 248.1 268.0 304.0 271.0 332.6 328.2 308.4 303.4 237.0

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