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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 21, 2022
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   33 38 40 44 45 45 45 45 45 45 45
Closed Higher   23 24 23 22 22 22 18 25 22 14 23
Exceeded High   17 18 22 19 17 15 15 16 16 12 12
Scenario Percentage   74% 75% 96% 86% 77% 68% 83% 64% 73% 86% 52%
Avg Max Increase   8.11% 9.25% 8.87% 8.35% 10.14% 17.03% 15.10% 13.20% 17.19% 17.68% 6.93%
Max Increase   44.47% 40.17% 31.51% 52.86% 38.49% 91.26% 38.27% 61.97% 116.52% 70.71% 12.90%
Avg Days To Max Increase   20 21 16 16 18 17 16 17 18 12 9
Avg Max Decline   -2.20% -1.90% -2.38% -1.69% -2.38% -2.14% -0.89% -2.15% -3.93% -2.43% -2.90%
Max Decline   -6.25% -5.83% -8.33% -7.53% -7.72% -10.10% -3.66% -5.52% -9.89% -9.06% -15.74%
Avg Days to Max Decline   11 9 11 7 9 11 4 11 10 7 3
2021 Contract Condition   Yes Yes Yes Yes   Yes Yes        
Action   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   33 38 40 44 45 45 45 45 45 45 45
Closed Lower   10 14 17 22 23 23 27 20 23 31 22
Penetrated Low   6 10 10 16 21 18 19 18 17 24 12
Scenario Percentage   60% 71% 59% 73% 91% 78% 70% 90% 74% 77% 55%
Avg Max Decline   5.95% 6.16% 8.32% 7.98% 10.34% 9.46% 12.07% 14.03% 15.57% 11.83% 5.73%
Max Decline   11.00% 12.53% 23.38% 22.97% 32.51% 19.98% 25.46% 56.83% 39.25% 27.88% 11.30%
Avg Days To Max Decline   12 15 19 19 19 17 16 21 18 13 8
Avg Max Increase   -1.92% -1.36% -0.89% -2.60% -2.19% -1.78% -2.43% -4.12% -4.01% -3.31% -0.62%
Max Increase   -6.38% -8.43% -4.64% -14.33% -7.53% -6.94% -6.18% -9.43% -15.60% -16.79% -2.63%
Avg Days to Max Increase   6 6 8 9 10 5 9 11 7 5 3
2021 Contract Condition           Yes     Yes Yes Yes Yes
Action           Yes     Yes Yes Yes Not Yet
High 579.7 458.5 540.5 659.5 730.0 757.0 832.3 1235.0 1591.3 1225.0 852.4 650.0
Low 402.0 401.5 456.5 525.7 535.0 689.5 675.0 835.8 1051.0 721.9 500.0 448.0
Close/Last 418.6 456.5 520.8 575.6 730.0 719.1 832.0 1235.0 1158.1 737.4 621.2 482.8

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