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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, 2013
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   24 31 36 38 38 39 39 39 39 39 39
Closed Higher   9 14 22 27 24 22 18 19 17 21 17
Exceeded High   5 13 18 21 23 19 15 13 12 13 6
Scenario Percentage   56% 93% 82% 78% 96% 86% 83% 68% 71% 62% 35%
Avg Max Increase   10.92% 8.89% 6.76% 7.20% 9.56% 9.53% 9.52% 13.49% 15.03% 8.96% 5.06%
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   19 14 20 21 18 18 17 19 19 12 8
Avg Max Decline   -1.05% -1.66% -2.19% -3.00% -2.82% -2.26% -2.48% -2.25% -1.93% -1.81% -1.74%
Max Decline   -3.23% -3.50% -7.04% -8.09% -11.69% -8.53% -7.31% -7.28% -3.69% -9.18% -4.12%
Avg Days to Max Decline   12 8 11 12 9 10 9 14 6 4 3
2012 Contract Condition       Yes   Yes   Yes   Yes    
Action       Yes   Yes   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   24 31 36 38 38 39 39 39 39 39 39
Closed Lower   15 17 14 10 14 17 21 20 22 18 22
Penetrated Low   13 10 9 7 10 15 17 17 16 16 6
Scenario Percentage   87% 59% 64% 70% 71% 88% 81% 85% 73% 89% 27%
Avg Max Decline   8.25% 5.54% 5.48% 6.65% 8.67% 7.58% 9.38% 9.51% 12.37% 10.33% 8.32%
Max Decline   16.39% 10.57% 12.06% 15.43% 23.33% 23.99% 26.07% 19.64% 32.97% 24.37% 13.09%
Avg Days To Max Decline   20 17 13 12 19 18 18 16 13 14 8
Avg Max Increase   -1.97% -3.66% -2.73% -2.67% -1.43% -4.25% -2.12% -3.43% -2.77% -2.58% 0.13%
Max Increase   -7.91% -12.19% -8.45% -11.10% -5.17% -15.42% -8.46% -11.35% -8.46% -8.95% -1.94%
Avg Days to Max Increase   12 11 7 6 8 9 11 7 7 4 2
2012 Contract Condition   Yes Yes   Yes   Yes   Yes   Yes Yes
Action   Yes Yes   Yes   No   Yes   Yes Not Yet
High 328.0 309.5 326.0 281.5 285.0 294.2 290.7 295.5 295.7 288.9 293.7 289.5
Low 314.0 283.0 272.1 269.9 264.8 262.0 260.2 270.0 263.7 262.0 275.7 265.5
Close/Last 314.0 302.1 272.1 276.8 264.8 286.8 271.0 289.6 263.8 281.9 281.0 273.4

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