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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, 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

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