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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Lumber(CME) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 21 28 33 35 35 36 36 36 36 36 36
Closed Higher 8 12 19 26 22 21 16 17 15 21 16
Exceeded High 4 11 15 20 21 18 13 12 11 14 5
Scenario Percentage 50% 92% 79% 77% 95% 86% 81% 71% 73% 67% 31%
Avg Max Increase 9.61% 7.67% 6.26% 7.29% 10.04% 9.53% 9.31% 13.57% 16.01% 9.21% 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% -2.37% -1.91% -1.92% -1.26%
Max Decline -3.23% -3.50% -7.04% -8.09% -11.69% -8.53% -7.31% -7.28% -3.69% -9.18% -2.33%
Avg Days to Max Decline 15 8 9 12 10 9 10 15 5 6 2
2009 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years 21 28 33 35 35 36 36 36 36 36 36
Closed Lower 13 16 14 8 13 15 20 19 21 15 20
Penetrated Low 11 9 9 5 10 14 16 16 15 14 13
Scenario Percentage 85% 56% 64% 62% 77% 93% 80% 84% 71% 93% 65%
Avg Max Decline 8.36% 5.86% 5.48% 8.95% 8.67% 7.62% 8.46% 10.06% 11.93% 9.85% 12.92%
Max Decline 16.39% 10.57% 12.06% 15.43% 23.33% 23.99% 26.07% 19.64% 32.97% 24.37% 37.94%
Avg Days To Max Decline 22 16 13 14 19 18 17 16 13 13 15
Avg Max Increase -1.18% -3.54% -2.73% -1.10% -1.43% -4.38% -1.79% -3.53% -2.92% -3.20% -3.47%
Max Increase -2.24% -12.19% -8.45% -3.49% -5.17% -15.42% -8.46% -11.35% -8.46% -8.95% -15.54%
Avg Days to Max Increase 14 6 7 3 8 9 10 7 8 5 -50
2009 Contract Condition Yes Yes Yes   Yes Yes Yes   Yes   Yes
Action Yes Yes Yes   Yes Yes Yes   Yes   Yes
High 284.6 272.0 253.0 243.0 233.8 212.2 198.7 187.9 196.6 201.2 216.3
Low 265.0 251.6 225.0 230.4 202.7 166.8 163.0 161.0 174.0 168.1 189.6
Close/Last 269.1 251.6 230.5 233.9 212.6 179.8 168.3 181.3 176.8 191.7 191.0

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