MRCI's ScenarioSM Study

ScenarioSM Study for May Lumber(CME) as of Dec 30, 2016
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		27	36	40	42	43	43	43	43	43	43	43
Closed Higher		11	16	18	14	27	28	28	22	20	19	18
Exceeded High		6	11	13	13	21	22	25	17	14	13	10
Scenario Percentage		55%	69%	72%	93%	78%	79%	89%	77%	70%	68%	56%
Avg Max Increase		2.98%	8.95%	9.03%	9.88%	7.73%	8.46%	10.48%	12.15%	11.73%	11.46%	6.70%
Max Increase		4.23%	16.32%	22.53%	26.86%	16.86%	15.19%	50.87%	58.10%	26.09%	38.39%	12.16%
Avg Days To Max Increase		14	20	16	13	20	19	17	14	21	11	9
Avg Max Decline		-1.02%	-1.68%	-1.38%	-2.38%	-2.40%	-3.36%	-3.49%	-1.85%	-3.23%	-1.63%	-0.92%
Max Decline		-4.29%	-5.18%	-4.77%	-6.48%	-10.86%	-8.19%	-13.01%	-9.52%	-8.34%	-6.87%	-2.30%
Avg Days to Max Decline		6	11	11	8	10	11	11	7	11	4	1
2016 Contract Condition		Yes				Yes		Yes		Yes	Yes
Action		No				No		No		Yes	Not Yet

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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		27	36	40	42	43	43	43	43	43	43	43
Closed Lower		16	20	22	28	16	15	15	21	23	24	25
Penetrated Low		10	16	17	17	10	7	12	15	19	22	16
Scenario Percentage		63%	80%	77%	61%	63%	47%	80%	71%	83%	92%	64%
Avg Max Decline		8.75%	10.14%	8.54%	6.34%	7.65%	13.37%	9.15%	10.27%	10.86%	11.31%	7.69%
Max Decline		13.62%	19.72%	18.78%	19.81%	19.64%	32.64%	26.84%	26.16%	30.25%	32.99%	24.04%
Avg Days To Max Decline		21	25	20	16	17	21	18	20	19	10	8
Avg Max Increase		-2.36%	-1.72%	-2.23%	-2.85%	-2.35%	-2.08%	-1.50%	-4.60%	-2.97%	-3.04%	-1.15%
Max Increase		-6.86%	-4.13%	-8.93%	-12.13%	-8.83%	-7.02%	-5.96%	-17.38%	-12.29%	-10.99%	-4.51%
Avg Days to Max Increase		10	10	8	6	6	4	9	10	11	5	2
2016 Contract Condition			Yes	Yes	Yes		Yes		Yes			Yes
Action			Yes	Yes	No		Yes		No			Not Yet
High	289.1	317.9	311.1	280.6	261.1	271.5	261.0	269.9	258.2	263.5	319.0	307.5
Low	275.0	281.7	273.0	251.4	236.0	240.2	246.5	244.0	232.5	237.3	251.8	274.3
Close/Last	287.4	308.3	273.7	252.0	247.8	263.4	252.2	255.9	239.3	253.2	310.7	295.6