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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, 2015
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   26 33 37 41 42 42 42 42 42 42 42
Closed Higher   19 20 22 21 21 20 15 22 20 13 22
Exceeded High   14 15 22 18 16 12 12 14 14 11 11
Scenario Percentage   74% 75% 100% 86% 76% 60% 80% 64% 70% 85% 50%
Avg Max Increase   6.23% 7.16% 7.71% 9.25% 9.15% 10.25% 11.95% 9.87% 10.55% 13.90% 6.62%
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 12 8
Avg Max Decline   -2.16% -2.09% -2.24% -1.57% -2.02% -2.09% -1.27% -1.52% -4.25% -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 11 6 2
2014 Contract Condition   Yes               Yes   Yes
Action   No               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   26 33 37 41 42 42 42 42 42 42 42
Closed Lower   7 13 15 20 21 22 27 20 22 29 20
Penetrated Low   4 10 9 15 18 17 21 18 17 22 11
Scenario Percentage   57% 77% 60% 75% 86% 77% 78% 90% 77% 76% 55%
Avg Max Decline   7.93% 5.97% 8.40% 7.52% 8.13% 8.64% 11.53% 11.62% 12.22% 11.36% 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 14 19 20 21 17 14 21 17 14 9
Avg Max Increase   -2.54% -1.17% -1.00% -2.76% -2.33% -3.06% -2.57% -4.20% -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 5 9 9 13 6 10 12 7 5 3
2014 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes  
Action     Yes Yes Yes Yes Yes Yes Yes   Not Yet  
High 386.8 384.8 382.0 377.0 372.0 370.1 369.0 354.6 349.3 342.0 342.0 356.5
Low 352.9 364.8 364.0 354.8 359.0 352.5 329.0 325.5 312.5 293.0 320.0 323.6
Close/Last 374.8 378.8 374.0 363.0 360.5 355.0 344.6 336.8 312.5 335.8 324.4 348.4

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