MRCI's ScenarioSM Study

ScenarioSM Study for July Lumber(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		20	27	32	34	34	35	35	35	35	35	35
Closed Higher		8	12	19	25	22	21	16	16	15	20	16
Exceeded High		4	11	15	20	21	18	13	11	11	13	5
Scenario Percentage		50%	92%	79%	80%	95%	86%	81%	69%	73%	65%	31%
Avg Max Increase		9.61%	7.67%	6.26%	7.29%	10.04%	9.53%	9.31%	13.80%	16.01%	8.93%	5.71%
Max Increase		23.27%	25.83%	14.46%	13.94%	40.42%	55.50%	33.07%	54.48%	29.87%	26.23%	9.22%
Avg Days To Max Increase		17	14	20	21	19	17	18	19	19	12	8
Avg Max Decline		-1.31%	-1.76%	-1.81%	-2.84%	-2.65%	-2.32%	-2.62%	-1.93%	-1.91%	-2.12%	-1.26%
Max Decline		-3.23%	-3.50%	-7.04%	-8.09%	-11.69%	-8.53%	-7.31%	-4.58%	-3.69%	-9.18%	-2.33%
Avg Days to Max Decline		15	8	9	12	10	9	10	12	5	6	2
2008 Contract Condition					Yes			Yes			Yes
Action					No			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	Jul	Aug	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun
Tested Years		20	27	32	34	34	35	35	35	35	35	35
Closed Lower		12	15	13	8	12	14	19	19	20	15	19
Penetrated Low		10	8	8	5	9	13	15	16	14	14	6
Scenario Percentage		83%	53%	62%	63%	75%	93%	79%	84%	70%	93%	32%
Avg Max Decline		7.56%	5.27%	4.66%	8.95%	7.04%	7.40%	8.74%	10.06%	12.43%	9.85%	8.25%
Max Decline		15.01%	8.65%	9.68%	15.43%	13.65%	23.99%	26.07%	19.64%	32.97%	24.37%	14.70%
Avg Days To Max Decline		24	16	14	14	19	19	18	16	12	13	10
Avg Max Increase		-1.19%	-3.92%	-2.40%	-1.10%	-1.61%	-3.91%	-1.84%	-3.53%	-2.68%	-3.20%	-0.21%
Max Increase		-2.24%	-12.19%	-8.45%	-3.49%	-5.17%	-15.42%	-8.46%	-11.35%	-8.46%	-8.95%	-3.50%
Avg Days to Max Increase		14	7	7	3	8	10	10	7	7	5	3
2008 Contract Condition		Yes	Yes	Yes		Yes	Yes		Yes	Yes		Yes
Action		Yes	Yes	Yes		Yes	Yes		Yes	No		Yes
High	315.2	319.8	300.1	309.8	299.7	290.0	278.0	266.9	260.2	269.5	257.5	253.0
Low	303.0	286.0	283.9	280.3	284.0	271.8	249.5	251.0	243.5	233.7	237.0	238.6
Close/Last	310.0	303.0	299.8	290.0	290.1	279.5	254.5	257.4	249.0	241.0	246.3	242.0