|
 |
| 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 |
|
|
|
|
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 |
|
|
|
|
| Copyright © 2024 Moore Research Center, Inc. All Rights Reserved. |
| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
