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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, 2016
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   27 34 39 41 41 42 42 42 42 42 42
Closed Higher   11 15 24 28 25 22 19 20 17 22 19
Exceeded High   6 14 20 22 24 19 16 13 12 15 7
Scenario Percentage   55% 93% 83% 79% 96% 86% 84% 65% 71% 68% 37%
Avg Max Increase   10.56% 8.71% 6.72% 7.00% 9.59% 9.53% 9.29% 13.49% 15.03% 9.28% 5.36%
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 13 20 21 18 18 17 19 19 12 10
Avg Max Decline   -1.46% -1.74% -2.23% -2.89% -2.96% -2.26% -2.33% -2.25% -1.93% -2.05% -1.70%
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 11 11 10 10 9 14 6 6 4
2015 Contract Condition   Yes     Yes           Yes Yes
Action   No     Yes           Yes Not Yet
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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   27 34 39 41 41 42 42 42 42 42 42
Closed Lower   16 19 15 12 16 20 23 22 25 20 23
Penetrated Low   13 12 10 8 12 17 19 19 18 18 7
Scenario Percentage   81% 63% 67% 67% 75% 85% 83% 86% 72% 90% 30%
Avg Max Decline   8.25% 5.28% 5.24% 6.55% 8.84% 8.32% 9.93% 9.68% 12.78% 10.20% 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 14 12 20 18 18 17 14 14 10
Avg Max Increase   -1.97% -3.46% -2.60% -2.44% -1.38% -3.85% -2.15% -3.22% -2.70% -3.14% -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 9 7 6 8 8 10 6 7 5 3
2015 Contract Condition     Yes Yes   Yes Yes Yes Yes Yes    
Action     Yes Yes   Yes Yes Yes Yes No    
High 358.5 366.0 361.0 361.0 344.0 348.0 335.0 324.5 297.2 276.5 280.6 302.4
Low 341.0 341.0 340.0 333.0 324.0 334.7 308.0 283.4 267.0 238.9 240.7 263.5
Close/Last 345.0 356.6 347.0 334.4 339.0 334.7 324.2 293.1 276.7 253.8 274.1 288.3

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