|
 |
| 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 |
|
|
|
|
|
|
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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| www.mrci.com | sales@mrci.com | | Phone: 541-525-0521 |
|
