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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Lumber(CME) as of May 31, 2010
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   22 27 35 36 37 37 37 37 37 37 37
Closed Higher   10 16 10 15 14 22 18 11 17 10 21
Exceeded High   9 11 6 9 11 12 11 9 11 9 14
Scenario Percentage   90% 69% 60% 60% 79% 55% 61% 82% 65% 90% 67%
Avg Max Increase   8.15% 8.60% 12.93% 7.97% 10.72% 8.32% 8.99% 13.04% 8.90% 9.72% 9.93%
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 18 19 15 14 12 12 11 11
Avg Max Decline   -2.07% -1.40% -1.33% -2.01% -1.46% -1.22% -2.76% -2.38% -3.33% -3.67% -1.14%
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 12 12 6 8 9 9 9 3
2010 Contract Condition   Yes   Yes Yes Yes            
Action   Yes   Yes Yes Not Yet            
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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   22 27 35 36 37 37 37 37 37 37 37
Closed Lower   11 11 25 21 23 15 19 26 20 27 16
Penetrated Low   7 7 22 16 18 15 16 20 15 23 4
Scenario Percentage   64% 64% 88% 76% 78% 100% 84% 77% 75% 85% 25%
Avg Max Decline   9.66% 6.14% 7.24% 8.92% 8.71% 8.94% 11.08% 14.46% 13.67% 7.46% 4.68%
Max Decline   19.68% 11.33% 23.62% 24.95% 22.98% 23.46% 20.20% 27.62% 26.75% 15.72% 11.78%
Avg Days To Max Decline   24 14 19 16 17 20 20 25 16 14 9
Avg Max Increase   -1.29% -3.27% -1.75% -2.57% -3.29% -4.04% -2.07% -3.05% -2.68% -3.74% -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   6 11 9 8 15 11 6 10 10 5 4
2010 Contract Condition     Yes       Yes Yes        
Action     No       Not Yet          
High 255.0 262.0 272.5 265.8 277.5 313.5 292.9 235.0        
Low 238.5 251.0 255.0 256.0 256.0 273.3 224.8 227.3        
Close/Last 254.0 262.0 255.0 259.0 271.4 296.0 231.8 230.0        

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