MRCI's ScenarioSM Study

ScenarioSM Study for November Lumber(CME) as of Jan 01, 2013
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		25	30	38	39	40	40	40	40	40	40	40
Closed Higher		13	17	12	17	16	22	18	13	18	11	24
Exceeded High		12	12	8	10	12	12	11	11	12	10	16
Scenario Percentage		92%	71%	67%	59%	75%	55%	61%	85%	67%	91%	67%
Avg Max Increase		7.36%	8.11%	12.48%	8.72%	9.96%	8.32%	8.99%	13.15%	9.21%	11.05%	9.41%
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		17	12	16	19	18	15	14	14	14	11	10
Avg Max Decline		-2.05%	-1.73%	-1.11%	-1.74%	-1.40%	-1.22%	-2.76%	-2.48%	-3.52%	-3.99%	-1.06%
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		13	7	5	11	11	6	8	8	11	8	3
2012 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	Nov	Dec	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct
Tested Years		25	30	38	39	40	40	40	40	40	40	40
Closed Lower		11	13	26	22	24	18	22	27	22	29	16
Penetrated Low		7	7	23	16	19	18	17	21	16	23	4
Scenario Percentage		64%	54%	88%	73%	79%	100%	77%	78%	73%	79%	25%
Avg Max Decline		9.66%	6.14%	7.59%	8.92%	9.00%	9.70%	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%	-3.82%	-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
2012 Contract Condition			Yes		Yes		Yes	Yes			Yes
Action			No		No		Yes	No			Not Yet
High	283.4	279.8	280.8	292.8	292.9	291.8	292.7	281.1	290.5	309.5	284.0	318.8
Low	261.8	259.0	263.0	272.6	268.3	268.4	275.0	250.0	258.7	276.4	267.4	272.3
Close/Last	261.8	276.9	272.6	286.0	269.0	288.0	275.5	260.4	276.0	283.0	279.0	318.8