MRCI's ScenarioSM Study

ScenarioSM Study for July Lumber(CME) as of Jan 01, 2014
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		25	32	37	39	39	40	40	40	40	40	40
Closed Higher		10	14	23	27	25	22	19	20	17	21	17
Exceeded High		6	13	19	21	24	19	16	13	12	14	6
Scenario Percentage		60%	93%	83%	78%	96%	86%	84%	65%	71%	67%	35%
Avg Max Increase		10.56%	8.89%	6.93%	7.20%	9.59%	9.53%	9.29%	13.49%	15.03%	9.21%	5.77%
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		21	14	20	21	18	18	17	19	19	12	9
Avg Max Decline		-1.46%	-1.66%	-2.35%	-3.00%	-2.96%	-2.26%	-2.33%	-2.25%	-1.93%	-1.92%	-1.74%
Max Decline		-3.55%	-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		16	8	12	12	10	10	9	14	6	6	3
2013 Contract Condition		Yes		Yes		Yes		Yes	Yes
Action		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		25	32	37	39	39	40	40	40	40	40	40
Closed Lower		15	18	14	11	14	18	21	20	23	19	23
Penetrated Low		13	11	9	7	10	15	17	17	17	17	7
Scenario Percentage		87%	61%	64%	64%	71%	83%	81%	85%	74%	89%	30%
Avg Max Decline		8.25%	5.16%	5.48%	6.65%	8.67%	7.58%	9.38%	9.51%	12.89%	10.47%	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		20	16	13	12	19	18	18	16	14	14	10
Avg Max Increase		-1.97%	-3.41%	-2.73%	-2.67%	-1.43%	-4.25%	-2.12%	-3.43%	-2.62%	-3.28%	-0.39%
Max Increase		-7.91%	-12.19%	-8.45%	-11.10%	-5.17%	-15.42%	-8.46%	-11.35%	-8.46%	-8.95%	-3.50%
Avg Days to Max Increase		12	10	7	6	8	9	11	7	7	5	3
2013 Contract Condition			Yes		Yes		Yes			Yes	Yes	Yes
Action			Yes		No		No			Yes	Not Yet	Not Yet
High	311.5	327.0	318.2	346.0	348.0	380.7	375.2	397.0	409.0	394.6	351.2	313.1
Low	295.8	309.0	307.4	306.9	328.0	335.0	338.3	356.0	381.0	347.5	276.2	278.5
Close/Last	306.4	318.2	311.1	346.0	340.1	360.3	354.9	386.3	391.5	350.5	306.3	297.6