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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, 2018
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   30 35 43 44 45 45 45 45 45 45 45
Closed Higher   15 19 15 20 16 24 21 16 21 15 27
Exceeded High   13 13 11 12 12 14 13 14 14 14 18
Scenario Percentage   87% 68% 73% 60% 75% 58% 62% 88% 67% 93% 67%
Avg Max Increase   7.46% 8.16% 12.42% 8.44% 9.96% 8.55% 8.75% 12.70% 10.67% 11.24% 8.84%
Max Increase   26.02% 53.18% 45.39% 30.17% 19.63% 16.53% 17.38% 23.34% 23.29% 31.50% 30.42%
Avg Days To Max Increase   16 14 17 17 18 16 15 15 16 12 10
Avg Max Decline   -2.23% -1.52% -1.08% -2.32% -1.40% -1.58% -2.89% -2.71% -3.02% -3.68% -1.19%
Max Decline   -10.93% -5.26% -4.26% -9.23% -3.65% -6.16% -8.08% -7.94% -10.83% -8.59% -4.45%
Avg Days to Max Decline   14 6 5 11 11 7 10 8 10 7 3
2017 Contract Condition     Yes Yes Yes     Yes Yes Yes Yes Yes
Action     Yes Yes 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   30 35 43 44 45 45 45 45 45 45 45
Closed Lower   14 16 28 24 29 21 24 29 24 30 18
Penetrated Low   9 8 25 18 22 19 17 23 18 24 6
Scenario Percentage   64% 50% 89% 75% 76% 90% 71% 79% 75% 80% 33%
Avg Max Decline   8.48% 7.26% 7.97% 9.04% 9.64% 9.52% 11.46% 14.19% 12.86% 7.37% 3.89%
Max Decline   19.68% 15.14% 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 17 18 19 20 24 18 14 10
Avg Max Increase   -1.24% -2.89% -2.09% -2.46% -3.03% -3.69% -2.35% -3.11% -4.07% -3.84% -1.92%
Max Increase   -3.26% -6.45% -8.50% -9.15% -9.13% -9.87% -7.32% -18.52% -12.50% -11.40% -4.53%
Avg Days to Max Increase   6 11 10 7 13 9 7 10 12 5 4
2017 Contract Condition   Yes       Yes Yes          
Action   No       Yes No          
High 367.5 367.9 357.8 386.0 389.0 418.0 387.7 352.7 378.8 374.0 408.5 458.4
Low 347.0 345.0 346.0 361.4 374.1 381.2 328.1 332.3 340.1 347.5 372.1 402.2
Close/Last 365.9 354.4 357.8 380.0 388.9 382.1 331.1 349.6 362.3 371.8 402.2 458.4

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