MRCI's ScenarioSM Study

ScenarioSM Study for November Lumber(CME) as of Jan 01, 2015
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		27	32	40	41	42	42	42	42	42	42	42
Closed Higher		14	18	13	18	16	22	19	14	20	12	25
Exceeded High		13	12	9	10	12	12	12	12	13	11	16
Scenario Percentage		93%	67%	69%	56%	75%	55%	63%	86%	65%	92%	64%
Avg Max Increase		7.46%	8.11%	11.59%	8.72%	9.96%	8.32%	8.78%	13.33%	9.70%	10.80%	9.17%
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	15	14	15	12	10
Avg Max Decline		-2.23%	-1.73%	-1.12%	-1.74%	-1.40%	-1.22%	-2.90%	-2.68%	-3.25%	-3.88%	-0.88%
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	10	8	10	6	3
2014 Contract Condition			Yes					Yes		Yes
Action			No					Yes		No

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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		27	32	40	41	42	42	42	42	42	42	42
Closed Lower		12	14	27	23	26	20	23	28	22	30	17
Penetrated Low		8	7	24	17	21	19	17	22	16	24	4
Scenario Percentage		67%	50%	89%	74%	81%	95%	74%	79%	73%	80%	24%
Avg Max Decline		8.75%	6.14%	7.63%	8.80%	9.43%	9.52%	11.46%	14.17%	13.80%	7.28%	4.55%
Max Decline		19.68%	11.33%	23.62%	24.95%	22.98%	23.46%	20.20%	27.62%	26.75%	15.72%	11.62%
Avg Days To Max Decline		24	14	19	17	17	19	20	24	17	15	8
Avg Max Increase		-1.41%	-3.27%	-2.11%	-2.59%	-3.10%	-3.69%	-2.35%	-3.07%	-3.30%	-3.84%	-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		7	11	10	7	14	9	7	11	10	5	4
2014 Contract Condition		Yes		Yes	Yes	Yes	Yes		Yes		Yes	Yes
Action		Yes		Yes	Yes	Yes	Yes		Yes		Yes	Not Yet
High	387.9	378.0	368.6	366.0	364.5	349.3	348.0	338.5	339.7	354.3	348.5	353.0
Low	372.0	355.8	356.4	351.7	328.0	322.0	316.0	298.0	321.0	318.2	325.0	319.0
Close/Last	378.0	360.5	360.8	351.7	339.3	335.0	317.7	333.0	328.5	343.9	332.9	323.0