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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, 2019
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   30 37 42 44 44 45 45 45 45 45 45
Closed Higher   12 17 26 29 27 24 22 23 18 23 21
Exceeded High   7 16 21 22 25 21 19 16 13 14 9
Scenario Percentage   58% 94% 81% 76% 93% 88% 86% 70% 72% 61% 43%
Avg Max Increase   9.58% 7.98% 6.69% 7.00% 10.08% 9.83% 10.34% 13.53% 15.05% 9.05% 4.97%
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   22 14 20 21 18 18 18 18 19 13 8
Avg Max Decline   -1.46% -2.21% -2.38% -2.89% -2.78% -2.03% -2.52% -2.74% -1.77% -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   20 9 12 11 10 9 8 13 5 4 4
2018 Contract Condition   Yes Yes Yes   Yes Yes Yes Yes Yes Yes  
Action   Yes Yes Yes   Yes Yes Yes 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   30 37 42 44 44 45 45 45 45 45 45
Closed Lower   18 20 16 14 17 21 23 22 27 22 24
Penetrated Low   15 12 11 9 12 17 19 19 19 18 6
Scenario Percentage   83% 60% 69% 64% 71% 81% 83% 86% 70% 82% 25%
Avg Max Decline   7.90% 5.28% 4.82% 6.79% 8.84% 8.32% 9.93% 9.68% 12.73% 9.71% 8.32%
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 14 8
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
2018 Contract Condition         Yes             Yes
Action         No             Not Yet
High 370.9 384.1 388.8 398.4 405.7 421.5 472.1 512.6 506.0 564.3 648.5 606.1
Low 356.0 352.3 381.6 378.7 375.6 385.6 427.7 459.4 461.0 499.6 563.3 510.2
Close/Last 361.0 384.1 385.0 397.0 383.7 420.9 459.7 489.2 505.4 562.1 597.1 569.3

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