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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Lumber(CME) as of Dec 31, 2010
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   22 29 34 36 36 37 37 37 37 37 37
Closed Higher   8 13 20 27 22 22 17 18 16 21 16
Exceeded High   4 12 16 21 21 19 14 13 11 14 5
Scenario Percentage   50% 92% 80% 78% 95% 86% 82% 72% 69% 67% 31%
Avg Max Increase   9.61% 8.60% 6.43% 7.20% 10.04% 9.53% 10.06% 13.49% 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 15 19 21 19 18 18 19 19 12 8
Avg Max Decline   -1.31% -1.80% -1.74% -3.00% -2.65% -2.26% -2.66% -2.25% -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 10 10 14 5 6 2
2010 Contract Condition     Yes Yes Yes   Yes Yes Yes Yes    
Action     Yes Yes Yes   Yes Yes Yes No    
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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   22 29 34 36 36 37 37 37 37 37 37
Closed Lower   14 16 14 8 14 15 20 19 21 16 21
Penetrated Low   12 9 9 5 10 14 16 16 15 15 7
Scenario Percentage   86% 56% 64% 63% 71% 93% 80% 84% 71% 94% 33%
Avg Max Decline   8.05% 5.86% 5.48% 8.95% 8.67% 7.62% 8.46% 10.06% 11.93% 10.68% 8.94%
Max Decline   16.39% 10.57% 12.06% 15.43% 23.33% 23.99% 26.07% 19.64% 32.97% 24.37% 14.70%
Avg Days To Max Decline   21 16 13 14 19 18 17 16 13 14 10
Avg Max Increase   -1.47% -3.54% -2.73% -1.10% -1.43% -4.38% -1.79% -3.53% -2.92% -3.28% -0.39%
Max Increase   -4.68% -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   13 6 7 3 8 9 10 7 8 5 3
2010 Contract Condition   Yes       Yes         Yes Yes
Action   Yes       No         Yes Not Yet
High 256.0 239.7 235.3 244.0 264.8 265.7 278.5 298.0 301.9 337.0 307.8 235.3
Low 230.0 216.0 210.0 218.0 242.5 247.5 255.9 275.5 272.4 297.0 221.2 175.2
Close/Last 232.2 220.2 223.0 244.0 264.0 257.5 275.6 281.3 299.5 305.6 225.5 195.0

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