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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Lumber(CME) as of Oct 20, 2019
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   31 37 40 44 45 45 45 45 45 45 45
Closed Higher   21 23 23 22 22 22 16 24 23 13 23
Exceeded High   15 17 22 19 17 15 13 15 15 11 12
Scenario Percentage   71% 74% 96% 86% 77% 68% 81% 63% 65% 85% 52%
Avg Max Increase   6.06% 7.43% 8.03% 7.86% 10.14% 11.06% 12.26% 9.95% 10.57% 12.27% 6.25%
Max Increase   13.23% 16.07% 31.46% 52.86% 38.49% 39.11% 23.00% 19.99% 25.13% 26.44% 12.90%
Avg Days To Max Increase   20 20 16 16 18 18 16 16 17 11 7
Avg Max Decline   -2.34% -2.06% -2.09% -1.59% -2.38% -2.55% -1.15% -1.92% -4.18% -2.63% -1.63%
Max Decline   -6.25% -5.83% -8.33% -7.63% -7.72% -10.10% -3.66% -5.48% -9.89% -9.06% -5.18%
Avg Days to Max Decline   11 10 11 7 9 11 4 10 10 7 3
2019 Contract Condition     Yes   Yes         Yes   Yes
Action     Yes   Yes         No   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   31 37 40 44 45 45 45 45 45 45 45
Closed Lower   10 14 17 22 23 23 29 21 22 32 22
Penetrated Low   6 10 10 16 20 18 21 19 16 24 12
Scenario Percentage   60% 71% 59% 73% 87% 78% 72% 90% 73% 75% 55%
Avg Max Decline   5.95% 6.16% 8.32% 7.98% 9.29% 9.38% 11.64% 11.11% 14.09% 10.79% 5.20%
Max Decline   11.00% 12.53% 23.38% 22.97% 22.74% 19.98% 25.46% 25.87% 26.91% 23.87% 10.15%
Avg Days To Max Decline   12 15 19 19 21 19 15 21 18 12 6
Avg Max Increase   -1.92% -1.36% -0.89% -2.60% -2.22% -2.33% -2.44% -4.30% -3.29% -3.12% -0.54%
Max Increase   -6.38% -8.43% -4.64% -14.33% -7.53% -7.57% -6.18% -9.43% -11.47% -16.79% -1.87%
Avg Days to Max Increase   6 6 8 9 12 5 9 12 7 5 2
2019 Contract Condition   Yes   Yes   Yes Yes Yes Yes   Yes  
Action   No   No   Yes Yes Yes No   Not Yet  
High 396.5 389.4 397.0 365.6 413.2 416.7 407.2 371.2 368.9 408.6 407.7 385.0
Low 353.8 338.9 355.9 344.2 345.1 379.3 360.7 317.0 292.0 304.5 325.9 340.5
Close/Last 374.5 341.8 356.0 351.4 408.9 398.7 364.9 348.7 313.6 375.1 343.9 374.5

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