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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November Lumber(CME) as of May 10, 2021
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   33 38 44 44 45 45 45 45 45 45 45
Closed Higher   17 22 15 20 18 25 22 16 21 15 25
Exceeded High   15 16 12 12 14 15 14 14 14 14 15
Scenario Percentage   88% 73% 80% 60% 78% 60% 64% 88% 67% 93% 60%
Avg Max Increase   8.32% 7.56% 12.47% 10.40% 12.01% 11.21% 14.94% 15.78% 10.83% 11.03% 7.54%
Max Increase   26.02% 53.18% 45.39% 30.17% 33.73% 48.44% 95.47% 55.42% 23.29% 31.50% 15.59%
Avg Days To Max Increase   17 14 18 17 19 17 16 16 16 12 9
Avg Max Decline   -1.95% -1.60% -1.39% -1.92% -1.17% -1.75% -2.70% -2.46% -2.72% -3.55% -1.13%
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 10 7 9 6 9 5 3
2020 Contract Condition   Yes Yes     Yes Yes Yes Yes Yes    
Action   Yes Yes     Yes Yes Yes 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   33 38 44 44 45 45 45 45 45 45 45
Closed Lower   15 16 29 24 27 20 23 29 24 30 20
Penetrated Low   9 8 27 18 20 17 16 22 18 24 5
Scenario Percentage   60% 50% 93% 75% 74% 85% 70% 76% 75% 80% 25%
Avg Max Decline   8.48% 7.26% 9.07% 8.34% 9.51% 9.22% 13.03% 14.11% 13.60% 8.06% 2.74%
Max Decline   19.68% 15.14% 28.79% 18.01% 20.88% 23.46% 25.07% 27.62% 27.17% 19.83% 5.51%
Avg Days To Max Decline   24 14 19 17 19 20 21 24 19 17 6
Avg Max Increase   -1.24% -2.89% -2.10% -1.68% -2.75% -3.55% -2.34% -3.40% -4.12% -4.15% -1.68%
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 9 6 12 9 7 11 11 5 3
2020 Contract Condition       Yes Yes           Yes Yes
Action       Yes Yes           Yes Not Yet
High 401.9 402.4 412.4 430.4 395.5 345.0 370.9 426.6 537.2 820.6 745.0 629.5
Low 386.1 386.8 394.5 384.2 293.5 277.0 319.7 347.3 418.6 528.9 549.6 490.8
Close/Last 391.8 402.1 411.7 389.0 301.0 319.0 361.9 419.8 528.0 747.5 612.2 495.6

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