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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, 2018
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   29 36 40 44 45 45 45 45 45 45 45
Closed Higher   20 22 23 22 23 22 15 24 22 15 23
Exceeded High   14 16 22 19 18 14 12 16 15 12 12
Scenario Percentage   70% 73% 96% 86% 78% 64% 80% 67% 68% 80% 52%
Avg Max Increase   6.23% 6.89% 7.71% 9.39% 9.84% 9.77% 11.95% 9.86% 10.57% 13.48% 6.63%
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 17 17 18 16 16 17 12 8
Avg Max Decline   -2.16% -1.99% -2.24% -1.47% -2.04% -2.70% -1.27% -1.88% -4.18% -2.54% -1.19%
Max Decline   -6.25% -5.83% -8.33% -7.63% -7.72% -10.10% -3.66% -5.48% -9.89% -9.06% -4.26%
Avg Days to Max Decline   10 10 11 7 8 12 4 10 10 6 2
2017 Contract Condition     Yes   Yes Yes Yes     Yes Yes Yes
Action     No   Yes Yes Yes     Yes 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   29 36 40 44 45 45 45 45 45 45 45
Closed Lower   9 14 17 22 22 23 30 21 23 30 22
Penetrated Low   6 11 10 16 19 18 22 19 17 23 13
Scenario Percentage   67% 79% 59% 73% 86% 78% 73% 90% 74% 77% 59%
Avg Max Decline   5.95% 6.22% 8.32% 7.98% 8.70% 8.94% 11.64% 11.11% 12.22% 11.26% 6.34%
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   12 15 19 19 21 17 15 21 17 13 8
Avg Max Increase   -1.92% -1.20% -0.89% -2.60% -2.23% -2.89% -2.54% -4.30% -3.26% -3.25% -0.65%
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   6 5 8 9 12 6 10 12 7 5 3
2017 Contract Condition   Yes   Yes       Yes Yes      
Action   Yes   No       Yes Yes      
High 375.0 374.9 365.0 362.9 355.2 393.0 393.8 416.0 394.9 361.9 394.9 388.1
Low 350.4 335.0 333.0 340.0 340.7 352.9 370.0 382.7 336.3 334.1 344.4 360.4
Close/Last 375.0 335.0 360.9 349.4 352.0 386.1 392.9 387.9 340.8 356.1 378.3 385.7

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