|
 |
| 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 |
|
|
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
