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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Lumber(CME) as of Feb 21, 2020
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   32 37 44 44 45 45 45 45 45 45 45
Closed Higher   16 21 15 21 17 24 22 15 20 15 26
Exceeded High   14 15 12 13 13 14 13 13 14 14 17
Scenario Percentage   88% 71% 80% 62% 76% 58% 59% 87% 70% 93% 65%
Avg Max Increase   8.42% 7.76% 12.47% 9.81% 10.34% 8.55% 8.75% 12.73% 10.83% 11.24% 9.12%
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 18 17 18 16 15 16 16 12 10
Avg Max Decline   -1.96% -1.44% -1.39% -2.19% -1.27% -1.58% -2.89% -2.66% -2.72% -3.68% -1.17%
Max Decline   -10.93% -5.26% -4.76% -9.23% -3.65% -6.16% -8.08% -7.94% -10.83% -8.59% -4.45%
Avg Days to Max Decline   13 6 5 10 11 7 10 7 9 7 3
2019 Contract Condition     Yes         Yes   Yes   Yes
Action     Yes         No   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   32 37 44 44 45 45 45 45 45 45 45
Closed Lower   15 16 29 23 28 21 23 30 25 30 19
Penetrated Low   9 8 26 17 21 18 16 23 19 24 6
Scenario Percentage   60% 50% 90% 74% 75% 86% 70% 77% 76% 80% 32%
Avg Max Decline   8.48% 7.26% 8.31% 8.36% 9.41% 9.05% 13.03% 14.32% 13.61% 7.68% 3.89%
Max Decline   19.68% 15.14% 23.62% 18.01% 20.88% 23.46% 25.07% 27.62% 27.17% 15.72% 11.78%
Avg Days To Max Decline   24 14 19 18 18 20 21 24 18 15 10
Avg Max Increase   -1.24% -2.89% -2.11% -2.09% -2.68% -3.78% -2.34% -3.25% -4.03% -4.13% -1.92%
Max Increase   -3.26% -6.45% -8.50% -7.89% -7.63% -9.87% -7.32% -18.52% -12.50% -11.40% -4.53%
Avg Days to Max Increase   6 11 10 6 11 10 7 11 11 5 4
2019 Contract Condition   Yes   Yes Yes Yes Yes   Yes   Yes  
Action   No   Yes Yes Yes No   No   Not Yet  
High 392.8 361.4 400.4 402.7 400.2 370.0 363.0 404.7 399.8 379.3 393.5 409.4
Low 351.7 340.0 340.9 370.3 357.3 325.0 300.0 307.8 326.0 340.1 348.1 357.5
Close/Last 351.8 347.2 399.5 390.0 365.9 346.5 315.2 370.0 344.4 371.0 367.1 396.2

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