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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, 2013
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   23 32 36 38 39 39 39 39 39 39 39
Closed Higher   9 14 16 13 24 26 26 22 18 17 17
Exceeded High   5 9 12 12 19 21 24 17 12 13 10
Scenario Percentage   56% 64% 75% 92% 79% 81% 92% 77% 67% 76% 59%
Avg Max Increase   2.83% 8.89% 8.79% 10.13% 7.67% 8.69% 10.59% 12.15% 10.96% 12.74% 8.54%
Max Increase   4.23% 16.32% 22.53% 26.86% 16.86% 15.19% 50.87% 58.10% 23.49% 47.03% 17.51%
Avg Days To Max Increase   13 20 15 14 21 19 17 14 20 12 11
Avg Max Decline   -0.36% -1.51% -1.17% -2.28% -2.37% -3.50% -3.29% -1.85% -3.77% -1.85% -1.22%
Max Decline   -0.73% -3.87% -4.77% -6.48% -10.86% -8.19% -13.01% -9.52% -8.34% -6.87% -3.43%
Avg Days to Max Decline   1 10 10 8 9 12 10 7 12 6 2
2012 Contract Condition   Yes       Yes   Yes   Yes   Yes
Action   Yes       Yes   No   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   23 32 36 38 39 39 39 39 39 39 39
Closed Lower   14 18 20 25 15 13 13 17 21 22 22
Penetrated Low   10 15 16 16 9 6 10 13 17 20 15
Scenario Percentage   71% 83% 80% 64% 60% 46% 77% 76% 81% 91% 68%
Avg Max Decline   8.75% 9.89% 8.68% 6.34% 8.21% 14.30% 8.91% 9.71% 10.56% 11.77% 8.39%
Max Decline   13.62% 19.72% 18.78% 19.81% 19.64% 32.64% 26.84% 26.16% 30.25% 32.99% 28.62%
Avg Days To Max Decline   21 24 19 16 17 21 17 21 19 10 9
Avg Max Increase   -2.36% -1.67% -2.14% -2.74% -2.46% -1.25% -1.71% -5.21% -3.05% -3.18% -1.12%
Max Increase   -6.86% -4.13% -8.93% -12.13% -8.83% -4.77% -5.96% -17.38% -12.29% -10.99% -4.51%
Avg Days to Max Increase   10 10 8 7 6 3 10 9 11 6 2
2012 Contract Condition     Yes Yes Yes   Yes   Yes   Yes  
Action     Yes Yes Yes   No   No   Not Yet  
High 310.0 307.0 320.0 299.5 316.0 274.0 279.5 287.0 283.0 285.8 284.0 287.2
Low 290.0 299.0 304.0 270.0 262.6 260.0 249.1 252.1 250.0 259.3 254.0 255.7
Close/Last 295.0 307.0 304.0 290.1 262.6 268.7 255.4 275.6 262.9 275.2 260.9 284.9

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