|
 |
| MRCI's ScenarioSM Study |
| ScenarioSM Study for July Lumber(CME) as of Apr 30, 2011 |
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 |
| 2011 Contract Condition |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
Yes |
|
|
|
| Action |
|
Yes |
Yes |
Yes |
|
Yes |
|
|
Not Yet |
|
|
|
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 |
| 2011 Contract Condition |
|
|
|
|
Yes |
|
Yes |
Yes |
|
Yes |
Yes |
|
| Action |
|
|
|
|
Yes |
|
Yes |
Yes |
|
Not Yet |
|
|
| High |
265.0 |
270.0 |
281.0 |
302.0 |
307.0 |
340.0 |
352.1 |
340.0 |
338.5 |
324.5 |
263.8 |
|
| Low |
256.0 |
253.0 |
260.0 |
273.0 |
283.0 |
282.9 |
317.5 |
308.4 |
312.0 |
239.0 |
257.6 |
|
| Close/Last |
256.0 |
260.0 |
273.0 |
302.0 |
283.0 |
332.1 |
332.0 |
315.0 |
323.4 |
263.9 |
263.5 |
|
|
|
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|
