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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Lumber(CME) as of Apr 30, 2011
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   22 29 33 37 38 38 38 38 38 38 38
Closed Higher   15 19 19 21 19 18 14 22 19 11 19
Exceeded High   11 14 19 18 14 12 11 14 13 9 10
Scenario Percentage   73% 74% 100% 86% 74% 67% 79% 64% 68% 82% 53%
Avg Max Increase   5.72% 7.00% 8.18% 9.25% 9.99% 10.25% 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 16 18 19 17 16 17 11 7
Avg Max Decline   -1.57% -2.15% -1.93% -1.57% -2.28% -2.09% -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 11 10 7 9 12 5 9 9 7 2
2011 Contract Condition   Yes   Yes     Yes   Yes      
Action   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   22 29 33 37 38 38 38 38 38 38 38
Closed Lower   7 10 14 16 19 20 24 16 19 27 19
Penetrated Low   4 7 8 13 16 15 18 15 16 21 11
Scenario Percentage   57% 70% 57% 81% 84% 75% 75% 94% 84% 78% 58%
Avg Max Decline   7.93% 7.15% 9.09% 7.55% 7.42% 9.11% 10.66% 11.97% 11.90% 11.23% 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% -4.61% -3.06% -3.27% -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 14 7 5 3
2011 Contract Condition     Yes   Yes Yes   Yes        
Action     Yes   Yes Yes   Not Yet        
High 290.0 304.0 305.0 334.0 344.0 336.5 342.8 330.5 284.0      
Low 270.0 281.0 293.0 285.0 315.5 312.9 314.5 256.9 274.0      
Close/Last 281.0 304.0 293.0 334.0 332.5 318.8 330.1 279.9 284.0      

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