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MRCI's Scenario Study

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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

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