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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 30, 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   33 41 43 44 45 45 45 45 45 45 45
Closed Higher   14 19 22 14 26 31 28 24 22 21 21
Exceeded High   9 14 16 13 20 24 25 20 17 15 13
Scenario Percentage   64% 74% 73% 93% 77% 77% 89% 83% 77% 71% 62%
Avg Max Increase   10.92% 10.93% 8.27% 9.70% 10.09% 12.31% 11.93% 12.01% 15.70% 15.85% 7.40%
Max Increase   66.56% 44.89% 22.53% 26.86% 57.76% 51.38% 50.87% 58.10% 77.22% 69.58% 14.04%
Avg Days To Max Increase   19 18 17 15 23 21 17 16 20 10 9
Avg Max Decline   -1.29% -1.75% -1.99% -2.57% -2.97% -3.10% -3.99% -1.92% -3.63% -1.55% -0.60%
Max Decline   -5.12% -5.18% -5.61% -8.96% -10.86% -8.19% -19.66% -9.52% -8.45% -6.87% -2.30%
Avg Days to Max Decline   6 10 12 10 10 11 11 6 10 4 1
2022 Contract Condition         Yes   Yes Yes   Yes   Yes
Action         Yes   Yes Yes   Yes   Not Yet
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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   33 41 43 44 45 45 45 45 45 45 45
Closed Lower   19 22 21 30 19 14 17 21 23 24 24
Penetrated Low   12 17 15 18 12 6 12 16 19 22 14
Scenario Percentage   63% 77% 71% 60% 63% 43% 71% 76% 83% 92% 58%
Avg Max Decline   10.51% 10.26% 8.72% 7.03% 6.56% 14.31% 9.15% 10.12% 13.35% 11.78% 8.32%
Max Decline   24.38% 19.72% 18.78% 19.81% 19.64% 32.64% 26.84% 26.16% 38.79% 32.99% 24.04%
Avg Days To Max Decline   19 24 21 17 14 20 18 19 19 10 8
Avg Max Increase   -2.98% -2.82% -2.03% -2.88% -2.05% -2.08% -1.50% -4.32% -3.31% -2.37% -1.16%
Max Increase   -11.57% -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 9 6 5 3 9 9 11 4 2
2022 Contract Condition   Yes Yes Yes   Yes     Yes   Yes  
Action   Yes Yes No   Yes     Yes   Yes  
High 1225.5 896.0 810.0 694.0 689.0 820.0 817.4 1089.5 1224.7 1256.5 1357.3 1062.8
Low 801.0 674.5 559.4 549.0 567.2 646.4 635.9 825.0 862.2 848.8 945.0 829.3
Close/Last 801.0 726.0 653.1 566.8 652.9 646.4 809.0 1056.5 920.7 1193.7 965.3 1039.7

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