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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Lumber(CME) as of May 31, 2010
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   21 28 32 36 37 37 37 37 37 37 37
Closed Higher   14 18 19 20 18 17 13 22 19 11 19
Exceeded High   10 13 19 17 13 11 11 14 13 9 10
Scenario Percentage   71% 72% 100% 85% 72% 65% 85% 64% 68% 82% 53%
Avg Max Increase   5.21% 7.06% 8.18% 9.33% 9.15% 9.89% 12.85% 9.87% 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 18 19 17 16 17 11 7
Avg Max Decline   -1.73% -2.22% -1.93% -1.58% -2.27% -2.26% -1.35% -1.52% -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 10 13 5 9 9 7 2
2010 Contract Condition   Yes Yes   Yes Yes Yes Yes        
Action   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   21 28 32 36 37 37 37 37 37 37 37
Closed Lower   7 10 13 16 19 20 24 15 18 26 18
Penetrated Low   4 7 8 13 16 15 18 14 16 20 11
Scenario Percentage   57% 70% 62% 81% 84% 75% 75% 93% 89% 77% 61%
Avg Max Decline   7.93% 7.15% 9.09% 7.55% 7.42% 9.11% 10.66% 11.08% 11.90% 11.47% 6.98%
Max Decline   11.00% 12.53% 23.38% 22.97% 22.74% 17.90% 25.46% 25.87% 26.91% 25.43% 13.75%
Avg Days To Max Decline   14 15 18 19 21 17 14 22 17 14 9
Avg Max Increase   -2.54% -0.35% -0.82% -2.88% -1.90% -3.17% -2.71% -4.76% -3.06% -3.21% -0.58%
Max Increase   -6.38% -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   8 3 8 9 12 6 11 15 7 5 3
2010 Contract Condition       Yes         Yes Yes    
Action       No         Yes      
High 241.4 241.5 263.8 266.0 278.4 291.0 297.1 336.6 309.9 242.0    
Low 210.0 230.0 240.1 258.5 259.9 274.4 271.5 294.2 233.0 232.0    
Close/Last 233.4 240.1 262.0 259.5 275.0 278.4 294.7 313.8 242.0 237.0    

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