MRCI's ScenarioSM Study

ScenarioSM Study for May Lumber(CME) as of Nov 09, 2020
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		31	40	42	44	45	45	45	45	45	45	45
Closed Higher		13	18	21	14	27	31	28	24	21	20	19
Exceeded High		8	13	16	13	21	24	25	20	15	14	13
Scenario Percentage		62%	72%	76%	93%	78%	77%	89%	83%	71%	70%	68%
Avg Max Increase		3.97%	8.31%	8.27%	8.83%	7.90%	9.08%	9.87%	10.85%	11.73%	13.86%	8.62%
Max Increase		7.97%	16.32%	22.53%	26.86%	16.86%	25.69%	50.87%	58.10%	26.09%	47.03%	17.51%
Avg Days To Max Increase		18	18	17	15	23	20	17	15	21	11	11
Avg Max Decline		-1.54%	-1.62%	-1.99%	-2.94%	-2.90%	-3.42%	-3.22%	-1.69%	-3.56%	-1.84%	-0.96%
Max Decline		-5.12%	-5.18%	-5.61%	-8.96%	-10.86%	-8.19%	-13.01%	-9.52%	-8.34%	-6.87%	-3.43%
Avg Days to Max Decline		7	10	12	10	11	12	11	6	11	6	1
2020 Contract Condition		Yes		Yes		Yes	Yes	Yes	Yes			Yes
Action		Yes		Yes		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	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr
Tested Years		31	40	42	44	45	45	45	45	45	45	45
Closed Lower		18	22	21	30	18	14	17	21	24	25	26
Penetrated Low		11	17	16	18	11	6	12	15	20	23	17
Scenario Percentage		61%	77%	76%	60%	61%	43%	71%	71%	83%	92%	65%
Avg Max Decline		9.25%	10.17%	9.02%	6.73%	7.00%	14.31%	9.15%	10.27%	13.28%	11.83%	8.57%
Max Decline		14.23%	19.72%	18.78%	19.81%	19.64%	32.64%	26.84%	26.16%	38.79%	32.99%	28.62%
Avg Days To Max Decline		19	24	20	17	15	20	18	20	19	11	10
Avg Max Increase		-2.20%	-2.40%	-1.92%	-2.74%	-2.21%	-2.08%	-1.50%	-4.60%	-3.17%	-2.44%	-0.97%
Max Increase		-6.86%	-13.25%	-8.93%	-12.13%	-8.83%	-7.02%	-5.96%	-17.38%	-12.29%	-10.99%	-3.55%
Avg Days to Max Increase		9	10	8	6	5	3	9	10	11	5	2
2020 Contract Condition			Yes		Yes					Yes	Yes
Action			No		Yes					Yes	Yes
High	358.9	393.4	383.4	398.3	395.7	403.4	420.6	426.7	439.7	477.7	428.2	344.7
Low	318.4	315.1	350.0	358.7	375.3	374.3	384.6	395.2	409.8	410.0	278.5	251.5
Close/Last	319.3	368.9	364.1	394.0	385.0	400.0	413.6	416.5	437.7	410.9	278.5	319.7