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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, 2016
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   27 34 38 42 43 43 43 43 43 43 43
Closed Higher   19 21 23 21 21 20 15 23 21 13 22
Exceeded High   14 16 22 18 16 12 12 15 14 11 11
Scenario Percentage   74% 76% 96% 86% 76% 60% 80% 65% 67% 85% 50%
Avg Max Increase   6.23% 6.89% 7.71% 9.25% 9.15% 10.25% 11.95% 9.95% 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 19 16 16 17 19 16 16 17 12 8
Avg Max Decline   -2.16% -1.99% -2.24% -1.57% -2.02% -2.09% -1.27% -1.71% -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
2015 Contract Condition     Yes Yes         Yes Yes    
Action     Yes No         Yes No    
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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   27 34 38 42 43 43 43 43 43 43 43
Closed Lower   8 13 15 21 22 23 28 20 22 30 21
Penetrated Low   5 10 9 16 19 18 21 18 17 23 12
Scenario Percentage   63% 77% 60% 76% 86% 78% 75% 90% 77% 77% 57%
Avg Max Decline   7.02% 5.97% 8.40% 7.98% 8.70% 8.94% 11.53% 11.62% 12.22% 11.26% 6.58%
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   15 14 19 19 21 17 14 21 17 13 9
Avg Max Increase   -2.31% -1.17% -1.00% -2.60% -2.23% -2.89% -2.57% -4.20% -3.26% -3.25% -0.69%
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   7 5 9 9 12 6 10 12 7 5 3
2015 Contract Condition   Yes     Yes Yes Yes Yes     Yes Yes
Action   Yes     Yes Yes Yes No     Yes Yes
High 363.0 361.0 345.0 348.0 342.0 325.0 299.0 281.3 279.4 305.5 299.0 264.5
Low 342.0 335.0 325.0 337.0 307.4 290.0 275.8 241.8 242.0 263.0 250.5 231.8
Close/Last 349.0 336.4 338.5 341.0 324.2 298.0 281.2 255.1 275.1 285.3 252.1 234.2

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