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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Lumber(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   21 26 34 35 36 36 36 36 36 36 36
Closed Higher   10 16 10 14 14 21 17 11 17 10 20
Exceeded High   9 11 6 8 11 11 11 9 11 9 12
Scenario Percentage   90% 69% 60% 57% 79% 52% 65% 82% 65% 90% 60%
Avg Max Increase   8.15% 8.60% 12.93% 8.15% 10.72% 7.62% 8.99% 13.04% 8.90% 9.56% 10.25%
Max Increase   26.02% 53.18% 45.39% 30.17% 19.63% 16.53% 17.38% 23.34% 22.55% 31.50% 30.42%
Avg Days To Max Increase   18 12 18 17 19 15 14 12 12 12 10
Avg Max Decline   -2.07% -1.40% -1.33% -1.62% -1.46% -1.33% -2.76% -2.38% -3.33% -3.46% -0.89%
Max Decline   -10.93% -4.85% -4.26% -5.41% -3.65% -6.16% -8.08% -7.94% -10.83% -8.59% -4.28%
Avg Days to Max Decline   11 5 6 9 12 6 8 9 9 6 2
2008 Contract Condition             Yes          
Action             No          
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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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   21 26 34 35 36 36 36 36 36 36 36
Closed Lower   10 10 24 21 22 15 19 25 19 26 16
Penetrated Low   6 7 21 16 17 15 16 19 14 22 4
Scenario Percentage   60% 70% 88% 76% 77% 100% 84% 76% 74% 85% 25%
Avg Max Decline   7.99% 6.14% 7.44% 8.92% 9.07% 8.94% 11.08% 14.28% 13.99% 7.60% 4.55%
Max Decline   14.26% 11.33% 23.62% 24.95% 22.98% 23.46% 20.20% 27.62% 26.75% 15.72% 11.62%
Avg Days To Max Decline   23 14 20 16 18 20 20 25 16 15 8
Avg Max Increase   -1.34% -3.27% -1.60% -2.57% -3.42% -4.04% -2.07% -2.93% -2.58% -3.68% -0.97%
Max Increase   -3.26% -6.45% -5.84% -9.15% -9.13% -9.87% -7.32% -18.52% -6.82% -11.40% -2.60%
Avg Days to Max Increase   5 11 10 8 16 11 6 10 10 5 4
2008 Contract Condition   Yes Yes Yes Yes Yes   Yes Yes Yes Yes Yes
Action   Yes Yes Yes Yes No   Yes Yes Yes Yes Not Yet
High 300.0 297.9 292.6 273.8 264.9 264.8 266.0 260.9 261.5 259.8 244.0 203.5
Low 295.0 290.6 252.0 249.5 249.0 247.0 250.0 248.1 246.0 240.3 201.5 176.1
Close/Last 297.9 291.0 260.0 259.3 254.8 251.5 260.9 255.1 251.8 240.4 203.5 188.6

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