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