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