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

Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.

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