MRCI's ScenarioSM Study

ScenarioSM Study for November Lumber(CME) as of Jan 01, 2014
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		26	31	39	40	41	41	41	41	41	41	41
Closed Higher		14	17	13	18	16	22	18	14	19	12	25
Exceeded High		13	12	9	10	12	12	11	12	13	11	17
Scenario Percentage		93%	71%	69%	56%	75%	55%	61%	86%	68%	92%	68%
Avg Max Increase		7.46%	8.11%	11.59%	8.72%	9.96%	8.32%	8.99%	13.33%	9.70%	10.93%	9.11%
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	16	19	18	15	14	14	15	11	10
Avg Max Decline		-2.23%	-1.73%	-1.12%	-1.74%	-1.40%	-1.22%	-2.76%	-2.68%	-3.25%	-4.04%	-1.00%
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		14	7	5	11	11	6	8	8	10	8	3
2013 Contract Condition		Yes		Yes	Yes				Yes	Yes	Yes	Yes
Action		Yes		Yes	No				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		26	31	39	40	41	41	41	41	41	41	41
Closed Lower		11	14	26	22	25	19	23	27	22	29	16
Penetrated Low		7	7	23	16	20	18	17	21	16	23	4
Scenario Percentage		64%	50%	88%	73%	80%	95%	74%	78%	73%	79%	25%
Avg Max Decline		9.66%	6.14%	7.59%	8.92%	9.35%	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	18	20	20	25	17	14	9
Avg Max Increase		-1.29%	-3.27%	-2.04%	-2.57%	-3.06%	-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	14	10	7	11	10	5	4
2013 Contract Condition			Yes			Yes	Yes	Yes
Action			No			Yes	No	No
High	333.5	354.4	350.0	374.9	384.4	380.0	341.3	320.6	338.0	326.0	363.4	368.5
Low	317.5	329.5	330.0	339.9	363.6	338.0	285.5	286.0	290.0	300.0	318.5	328.5
Close/Last	333.5	345.0	339.9	368.0	380.0	339.8	315.3	299.0	315.1	318.9	344.1	361.5