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

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		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