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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Lumber(CME) as of Dec 30, 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   28 35 40 42 42 43 43 43 43 43 43
Closed Higher   11 15 25 28 26 22 20 21 17 22 20
Exceeded High   6 14 20 22 24 19 17 14 12 15 8
Scenario Percentage   55% 93% 80% 79% 92% 86% 85% 67% 71% 68% 40%
Avg Max Increase   10.56% 8.71% 6.72% 7.00% 9.59% 9.53% 10.19% 12.95% 15.03% 9.28% 5.51%
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% -2.20% -2.84% -1.93% -2.05% -1.39%
Max Decline   -3.55% -3.50% -7.04% -8.09% -11.69% -8.53% -7.31% -10.49% -3.69% -9.18% -4.12%
Avg Days to Max Decline   16 8 11 11 10 10 8 15 6 6 4
2016 Contract Condition       Yes   Yes   Yes Yes     Yes
Action       No   No   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   28 35 40 42 42 43 43 43 43 43 43
Closed Lower   17 20 15 13 16 21 23 22 26 21 23
Penetrated Low   14 12 10 9 12 17 19 19 18 19 7
Scenario Percentage   82% 60% 67% 69% 75% 81% 83% 86% 69% 90% 30%
Avg Max Decline   8.10% 5.28% 5.24% 6.79% 8.84% 8.32% 9.93% 9.68% 12.78% 9.87% 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 13 20 18 18 17 14 14 10
Avg Max Increase   -2.08% -3.46% -2.60% -2.56% -1.38% -3.85% -2.15% -3.22% -2.70% -3.05% -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 8 8 8 10 6 7 5 3
2016 Contract Condition   Yes Yes   Yes   Yes     Yes Yes  
Action   Yes No   Yes   No     No Yes  
High 319.1 288.6 269.1 278.0 269.6 267.8 258.1 263.2 317.1 310.0 331.2 311.3
Low 281.0 259.4 244.0 248.2 253.0 250.0 236.0 241.4 254.4 279.8 293.6 291.2
Close/Last 281.7 260.0 255.8 269.9 258.7 261.1 242.0 255.2 312.6 305.3 303.4 303.9

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