MRCI's ScenarioSM Study

ScenarioSM Study for September Lumber(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close. Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		20	27	31	35	36	36	36	36	36	36	36
Closed Higher		14	17	19	20	17	16	13	21	18	11	19
Exceeded High		10	13	19	17	12	10	11	13	13	9	10
Scenario Percentage		71%	76%	100%	85%	71%	63%	85%	62%	72%	82%	53%
Avg Max Increase		5.21%	7.06%	8.18%	9.33%	8.91%	9.69%	12.85%	9.60%	10.89%	14.37%	6.55%
Max Increase		13.23%	13.56%	31.46%	52.86%	38.49%	39.11%	23.00%	19.99%	25.13%	26.44%	12.90%
Avg Days To Max Increase		17	20	16	15	19	18	17	15	17	11	7
Avg Max Decline		-1.73%	-2.22%	-1.93%	-1.58%	-2.06%	-1.98%	-1.35%	-1.64%	-4.21%	-2.33%	-1.43%
Max Decline		-5.88%	-5.83%	-8.33%	-7.63%	-7.72%	-5.74%	-3.66%	-5.48%	-9.89%	-9.06%	-4.26%
Avg Days to Max Decline		6	9	10	6	11	11	5	10	9	7	2
2008 Contract Condition		Yes				Yes			Yes
Action		No				Yes			No

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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	Sep	Oct	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug
Tested Years		20	27	31	35	36	36	36	36	36	36	36
Closed Lower		6	10	12	15	19	20	23	15	18	25	17
Penetrated Low		3	7	7	13	16	15	17	14	16	19	10
Scenario Percentage		50%	70%	58%	87%	84%	75%	74%	93%	89%	76%	59%
Avg Max Decline		7.29%	7.15%	7.05%	7.55%	7.42%	9.11%	11.10%	11.08%	11.90%	11.30%	7.13%
Max Decline		11.00%	12.53%	12.87%	22.97%	22.74%	17.90%	25.46%	25.87%	26.91%	25.43%	13.75%
Avg Days To Max Decline		18	15	16	19	21	17	15	22	17	15	10
Avg Max Increase		-1.26%	-0.35%	-0.95%	-2.88%	-1.90%	-3.17%	-2.83%	-4.76%	-3.06%	-2.89%	-0.63%
Max Increase		-4.68%	-1.22%	-4.64%	-14.33%	-6.07%	-11.86%	-10.25%	-9.43%	-11.47%	-16.79%	-2.63%
Avg Days to Max Increase		5	3	8	9	12	6	12	15	7	5	3
2008 Contract Condition			Yes	Yes	Yes		Yes	Yes		Yes	Yes	Yes
Action			Yes	Yes	Yes		Yes	No		Yes	Yes	Yes
High	317.0	315.0	303.3	299.0	287.0	273.2	271.7	275.0	274.8	267.8	262.8	270.3
Low	280.2	290.0	294.1	285.5	261.0	263.0	255.6	251.6	255.8	252.1	244.5	250.2
Close/Last	296.0	299.7	298.4	285.5	268.8	269.9	261.0	257.6	266.5	258.2	253.0	252.0