MRCI's ScenarioSM Study

ScenarioSM Study for November Lumber(CME) as of Dec 30, 2011
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		24	29	37	38	39	39	39	39	39	39	39
Closed Higher		12	17	11	17	15	22	18	12	17	11	23
Exceeded High		11	12	7	10	11	12	11	10	11	10	15
Scenario Percentage		92%	71%	64%	59%	73%	55%	61%	83%	65%	91%	65%
Avg Max Increase		7.50%	8.11%	14.09%	8.72%	10.72%	8.32%	8.99%	13.25%	8.90%	11.05%	9.85%
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		16	12	19	19	19	15	14	13	12	11	11
Avg Max Decline		-1.78%	-1.73%	-1.31%	-1.74%	-1.46%	-1.22%	-2.76%	-2.75%	-3.33%	-3.99%	-1.04%
Max Decline		-10.93%	-5.26%	-4.26%	-5.41%	-3.65%	-6.16%	-8.08%	-7.94%	-10.83%	-8.59%	-4.28%
Avg Days to Max Decline		12	7	6	11	12	6	8	9	9	8	3
2011 Contract Condition		Yes	Yes		Yes							Yes
Action		Yes	Yes		No							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		24	29	37	38	39	39	39	39	39	39	39
Closed Lower		11	12	26	21	24	17	21	27	22	28	16
Penetrated Low		7	7	23	16	19	17	17	21	16	23	4
Scenario Percentage		64%	58%	88%	76%	79%	100%	81%	78%	73%	82%	25%
Avg Max Decline		9.66%	6.14%	7.59%	8.92%	9.00%	9.73%	11.46%	14.69%	13.80%	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	17	14	9
Avg Max Increase		-1.29%	-3.27%	-2.04%	-2.57%	-3.20%	-3.92%	-2.35%	-3.27%	-3.30%	-3.74%	-0.97%
Max Increase		-3.26%	-6.45%	-8.50%	-9.15%	-9.13%	-9.87%	-7.32%	-18.52%	-12.50%	-11.40%	-2.60%
Avg Days to Max Increase		6	11	10	8	15	10	7	11	10	5	4
2011 Contract Condition				Yes		Yes	Yes	Yes	Yes	Yes	Yes
Action				Yes		Yes	Yes	Yes	Yes	Yes	Not Yet
High	307.0	318.0	325.5	331.8	332.0	321.9	281.0	275.8	286.1	261.4	281.7	232.4
Low	300.0	300.0	318.2	306.0	306.0	259.3	237.6	236.9	260.8	221.0	211.1	211.2
Close/Last	300.0	315.5	323.0	306.0	322.1	276.5	269.1	268.0	262.0	250.4	211.1	224.2