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