MRCI's ScenarioSM Study

ScenarioSM Study for May Lumber(CME) as of Jan 21, 2022
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		32	40	42	44	45	45	45	45	45	45	45
Closed Higher		14	19	22	14	27	31	28	24	22	21	20
Exceeded High		9	14	16	13	21	24	25	20	16	15	13
Scenario Percentage		64%	74%	73%	93%	78%	77%	89%	83%	73%	71%	65%
Avg Max Increase		10.92%	10.93%	8.27%	8.83%	10.11%	10.31%	11.20%	12.01%	15.83%	16.03%	7.79%
Max Increase		66.56%	44.89%	22.53%	26.86%	57.76%	43.11%	50.87%	58.10%	77.22%	69.58%	14.75%
Avg Days To Max Increase		19	18	17	15	23	20	17	16	22	10	10
Avg Max Decline		-1.29%	-1.75%	-1.99%	-2.94%	-2.86%	-3.27%	-3.61%	-1.92%	-3.87%	-1.55%	-0.60%
Max Decline		-5.12%	-5.18%	-5.61%	-8.96%	-10.86%	-8.19%	-13.01%	-9.52%	-8.45%	-6.87%	-2.30%
Avg Days to Max Decline		6	10	12	10	10	11	11	6	10	4	1
2021 Contract Condition		Yes	Yes	Yes		Yes	Yes	Yes	Yes	Yes	Yes	Yes
Action		Yes	Yes	No		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		32	40	42	44	45	45	45	45	45	45	45
Closed Lower		18	21	20	30	18	14	17	21	23	24	25
Penetrated Low		11	16	15	18	11	6	12	15	19	22	16
Scenario Percentage		61%	76%	75%	60%	61%	43%	71%	71%	83%	92%	64%
Avg Max Decline		9.25%	9.91%	8.72%	7.03%	7.00%	14.31%	9.15%	10.27%	13.35%	11.92%	8.42%
Max Decline		14.23%	19.72%	18.78%	19.81%	19.64%	32.64%	26.84%	26.16%	38.79%	32.99%	26.17%
Avg Days To Max Decline		19	24	21	17	15	20	18	20	19	10	9
Avg Max Increase		-2.20%	-2.61%	-2.03%	-2.88%	-2.21%	-2.08%	-1.50%	-4.60%	-3.31%	-2.30%	-1.03%
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	11	9	6	5	3	9	10	11	4	2
2021 Contract Condition					Yes
Action					Yes
High	371.3	398.0	455.0	653.9	587.6	473.8	580.5	727.9	806.3	921.0	1014.1	1502.3
Low	336.7	347.6	395.5	436.0	408.8	407.5	457.6	563.7	575.1	742.4	776.1	1006.0
Close/Last	366.1	392.6	451.3	597.5	440.7	461.4	563.4	642.5	796.2	847.7	1009.1	1500.5