MRCI's ScenarioSM Study

ScenarioSM Study for July Lumber(CME) as of Sep 16, 2022
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		34	40	43	44	44	45	45	45	45	45	45
Closed Higher		15	17	25	30	26	24	22	23	20	23	21
Exceeded High		8	16	20	23	24	21	19	16	15	16	11
Scenario Percentage		53%	94%	80%	77%	92%	88%	86%	70%	75%	70%	52%
Avg Max Increase		8.68%	8.55%	8.85%	10.55%	10.51%	9.43%	14.42%	19.00%	17.39%	12.38%	8.27%
Max Increase		23.27%	25.83%	51.58%	45.22%	40.42%	55.50%	79.28%	95.02%	39.21%	58.81%	33.81%
Avg Days To Max Increase		23	14	22	21	18	18	18	17	19	12	10
Avg Max Decline		-1.90%	-2.11%	-2.50%	-2.69%	-3.39%	-2.11%	-2.55%	-2.55%	-1.42%	-2.28%	-1.36%
Max Decline		-5.02%	-9.32%	-7.04%	-8.09%	-19.60%	-7.94%	-8.75%	-10.49%	-3.69%	-9.18%	-4.12%
Avg Days to Max Decline		22	9	13	11	11	9	8	13	5	5	3
2022 Contract Condition			Yes		Yes	Yes		Yes		Yes		Yes
Action			Yes		Yes	Yes		Yes		No		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		34	40	43	44	44	45	45	45	45	45	45
Closed Lower		19	23	18	13	18	21	23	22	25	22	24
Penetrated Low		15	15	12	9	12	17	20	19	17	19	8
Scenario Percentage		79%	65%	67%	69%	67%	81%	87%	86%	68%	86%	33%
Avg Max Decline		7.90%	5.49%	4.55%	6.21%	8.84%	8.32%	11.70%	10.78%	14.20%	13.89%	11.22%
Max Decline		16.39%	12.07%	12.06%	15.43%	23.33%	23.99%	33.20%	25.98%	32.97%	60.18%	27.18%
Avg Days To Max Decline		21	15	12	11	20	18	16	16	17	14	10
Avg Max Increase		-2.21%	-3.03%	-1.98%	-2.51%	-1.38%	-3.85%	-2.36%	-2.88%	-3.03%	-2.82%	-2.25%
Max Increase		-7.91%	-12.19%	-8.45%	-11.10%	-5.17%	-15.42%	-8.46%	-14.77%	-8.46%	-8.95%	-15.31%
Avg Days to Max Increase		14	8	6	7	8	8	10	6	7	5	3
2022 Contract Condition		Yes		Yes			Yes		Yes		Yes
Action		No		Yes			No		Yes		Yes
High	795.2	679.2	680.2	822.6	820.0	1012.5	1123.7	1152.5	1204.7	986.6	939.0	670.0
Low	544.6	534.2	552.4	664.1	653.7	810.0	804.0	825.2	835.1	758.8	636.3	517.0
Close/Last	638.3	552.0	670.0	664.1	810.0	1000.0	881.0	1054.2	859.6	915.0	653.5	663.3