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