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