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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, 2014
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   25 32 36 40 41 41 41 41 41 41 41
Closed Higher   18 20 22 21 21 20 15 22 19 13 21
Exceeded High   14 15 22 18 16 12 12 14 13 11 11
Scenario Percentage   78% 75% 100% 86% 76% 60% 80% 64% 68% 85% 52%
Avg Max Increase   6.23% 7.16% 7.71% 9.25% 9.15% 10.25% 11.95% 9.87% 10.89% 13.53% 6.26%
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% -2.09% -2.24% -1.57% -2.02% -2.09% -1.27% -1.52% -4.21% -2.34% -1.31%
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 10 11 7 9 12 4 9 9 6 2
2013 Contract Condition   Yes Yes Yes   Yes Yes       Yes Yes
Action   Yes Yes Yes   Yes No       Yes Yes
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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   25 32 36 40 41 41 41 41 41 41 41
Closed Lower   7 12 14 19 20 21 26 19 22 28 20
Penetrated Low   4 9 8 14 17 16 20 17 17 22 11
Scenario Percentage   57% 75% 57% 74% 85% 76% 77% 89% 77% 79% 55%
Avg Max Decline   7.93% 6.07% 9.09% 7.43% 8.12% 8.60% 11.46% 11.94% 12.22% 10.84% 6.05%
Max Decline   11.00% 12.53% 23.38% 22.97% 22.74% 17.90% 25.46% 25.87% 26.91% 23.87% 10.15%
Avg Days To Max Decline   14 15 18 20 21 16 15 21 17 13 7
Avg Max Increase   -2.54% -1.21% -0.82% -2.76% -2.24% -3.07% -2.52% -4.32% -3.26% -3.18% -0.49%
Max Increase   -6.38% -8.43% -4.64% -14.33% -7.53% -11.86% -10.25% -9.43% -11.47% -16.79% -1.87%
Avg Days to Max Increase   8 6 8 8 13 6 10 13 7 5 2
2013 Contract Condition         Yes     Yes Yes Yes    
Action         No     Yes No No    
High 328.2 343.0 344.5 377.0 370.0 387.8 402.7 393.4 347.1 318.4 339.0 328.0
Low 313.6 313.6 335.5 340.5 339.0 351.0 379.0 343.1 282.0 282.0 290.5 297.0
Close/Last 313.9 342.9 344.5 360.2 349.0 383.5 393.3 346.9 311.5 299.0 310.5 320.4

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