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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, 2018
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   29 36 41 43 43 44 44 44 44 44 44
Closed Higher   11 16 25 29 26 23 21 22 17 22 21
Exceeded High   6 15 20 22 24 20 18 15 12 14 9
Scenario Percentage   55% 94% 80% 76% 92% 87% 86% 68% 71% 64% 43%
Avg Max Increase   10.56% 8.16% 6.72% 7.00% 9.59% 9.74% 10.07% 12.55% 15.03% 9.20% 5.23%
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 18 19 12 9
Avg Max Decline   -1.46% -2.24% -2.23% -2.89% -2.96% -2.13% -2.34% -2.85% -1.93% -1.96% -1.42%
Max Decline   -3.55% -9.32% -7.04% -8.09% -11.69% -8.53% -7.31% -10.49% -3.69% -9.18% -4.12%
Avg Days to Max Decline   16 9 11 11 10 9 9 14 6 4 4
2017 Contract Condition     Yes   Yes   Yes Yes Yes     Yes
Action     Yes   No   Yes 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   29 36 41 43 43 44 44 44 44 44 44
Closed Lower   18 20 16 13 17 21 23 22 27 22 23
Penetrated Low   15 12 11 9 12 17 19 19 19 18 6
Scenario Percentage   83% 60% 69% 69% 71% 81% 83% 86% 70% 82% 26%
Avg Max Decline   7.90% 5.28% 4.82% 6.79% 8.84% 8.32% 9.93% 9.68% 12.73% 9.87% 8.99%
Max Decline   16.39% 10.57% 12.06% 15.43% 23.33% 23.99% 26.07% 19.64% 32.97% 24.37% 13.09%
Avg Days To Max Decline   21 16 13 13 20 18 18 17 15 13 9
Avg Max Increase   -2.21% -3.46% -2.31% -2.56% -1.38% -3.85% -2.15% -3.22% -2.71% -2.42% 0.13%
Max Increase   -7.91% -12.19% -8.45% -11.10% -5.17% -15.42% -8.46% -11.35% -8.46% -8.95% -1.94%
Avg Days to Max Increase   14 9 6 8 8 8 10 6 7 4 2
2017 Contract Condition   Yes   Yes   Yes       Yes Yes  
Action   Yes   Yes   No       Yes Not Yet  
High 359.1 359.1 359.5 359.4 360.9 356.2 351.2 395.1 391.3 417.1 396.9 372.6
Low 341.2 345.5 334.4 328.0 326.0 333.3 336.4 348.8 368.1 379.0 340.3 349.9
Close/Last 350.4 345.5 359.5 328.0 351.6 342.7 347.4 386.1 390.2 386.1 345.1 365.9

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