MRCI's ScenarioSM Study

ScenarioSM Study for May Lumber(CME) as of Sep 16, 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