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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Lumber(CME) as of Jan 01, 2013
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   24 31 35 39 40 40 40 40 40 40 40
Closed Higher   17 19 21 21 20 19 15 22 19 12 20
Exceeded High   13 14 21 18 15 12 12 14 13 10 10
Scenario Percentage   76% 74% 100% 86% 75% 63% 80% 64% 68% 83% 50%
Avg Max Increase   5.95% 7.00% 7.71% 9.25% 9.42% 10.25% 11.95% 9.87% 10.89% 14.17% 6.50%
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   19 20 16 16 17 19 16 16 17 11 7
Avg Max Decline   -2.16% -2.15% -2.07% -1.57% -2.12% -2.09% -1.27% -1.52% -4.21% -2.14% -1.43%
Max Decline   -6.25% -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   10 11 10 7 9 12 4 9 9 6 2
2012 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   24 31 35 39 40 40 40 40 40 40 40
Closed Lower   7 12 14 18 20 21 25 18 21 28 20
Penetrated Low   4 9 8 14 17 16 19 17 17 22 11
Scenario Percentage   57% 75% 57% 78% 85% 76% 76% 94% 81% 79% 55%
Avg Max Decline   7.93% 6.07% 9.09% 7.43% 8.12% 8.60% 11.08% 11.94% 12.22% 11.10% 6.64%
Max Decline   11.00% 12.53% 23.38% 22.97% 22.74% 17.90% 25.46% 25.87% 26.91% 25.23% 13.75%
Avg Days To Max Decline   14 15 18 20 21 16 14 21 17 13 8
Avg Max Increase   -2.54% -1.21% -0.82% -2.76% -2.24% -3.07% -2.64% -4.32% -3.26% -3.18% -0.58%
Max Increase   -6.38% -8.43% -4.64% -14.33% -7.53% -11.86% -10.25% -9.43% -11.47% -16.79% -2.63%
Avg Days to Max Increase   8 6 8 8 13 6 11 13 7 5 3
2012 Contract Condition     Yes   Yes   Yes   Yes Yes    
Action     Yes   No   Yes   Yes No    
High 335.0 283.5 288.8 294.7 291.8 297.0 297.8 295.0 295.3 286.9 297.2 317.0
Low 279.9 273.9 270.0 269.0 266.9 275.8 270.3 268.2 278.1 256.5 266.5 279.9
Close/Last 279.9 281.8 271.8 287.2 278.0 291.0 270.7 289.5 279.0 271.6 281.0 288.1

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