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