MRCI's ScenarioSM Study

ScenarioSM Study for November Lumber(CME) as of Jan 21, 2022
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		34	39	44	44	45	45	45	45	45	45	45
Closed Higher		18	23	15	21	18	25	21	16	21	15	24
Exceeded High		16	17	12	13	15	15	14	14	14	15	16
Scenario Percentage		89%	74%	80%	62%	83%	60%	67%	88%	67%	100%	67%
Avg Max Increase		9.43%	7.65%	12.47%	15.81%	13.11%	11.21%	14.94%	15.78%	10.83%	12.21%	8.78%
Max Increase		26.02%	53.18%	45.39%	80.72%	33.73%	48.44%	95.47%	55.42%	23.29%	31.50%	30.42%
Avg Days To Max Increase		17	15	18	16	18	17	16	16	16	12	10
Avg Max Decline		-2.27%	-1.87%	-1.39%	-1.75%	-1.03%	-1.75%	-2.70%	-2.46%	-2.72%	-3.64%	-1.25%
Max Decline		-10.93%	-6.23%	-4.76%	-9.23%	-3.65%	-6.16%	-8.08%	-7.94%	-10.83%	-8.59%	-4.45%
Avg Days to Max Decline		13	7	5	10	10	7	9	6	9	7	3
2021 Contract Condition		Yes	Yes		Yes	Yes					Yes
Action		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		34	39	44	44	45	45	45	45	45	45	45
Closed Lower		15	16	29	23	27	20	24	29	24	30	21
Penetrated Low		9	8	27	17	20	17	17	23	18	24	7
Scenario Percentage		60%	50%	93%	74%	74%	85%	71%	79%	75%	80%	33%
Avg Max Decline		8.48%	7.26%	8.95%	8.68%	9.51%	11.49%	14.32%	14.72%	13.60%	8.49%	4.82%
Max Decline		19.68%	15.14%	28.79%	18.01%	20.88%	48.76%	34.93%	28.04%	27.17%	19.83%	11.78%
Avg Days To Max Decline		24	14	18	16	19	20	21	24	19	16	10
Avg Max Increase		-1.24%	-2.89%	-1.91%	-1.32%	-2.75%	-3.63%	-3.11%	-3.36%	-4.12%	-4.15%	-2.57%
Max Increase		-3.26%	-6.45%	-8.50%	-7.79%	-7.63%	-9.87%	-15.42%	-18.52%	-12.50%	-11.40%	-6.47%
Avg Days to Max Increase		6	11	9	5	12	8	7	11	11	5	4
2021 Contract Condition				Yes			Yes	Yes	Yes	Yes		Yes
Action				Yes			Yes	Yes	Yes	No		Yes
High	540.5	659.5	710.0	725.0	774.7	1094.5	1400.0	1061.7	819.5	658.0	695.0	789.6
Low	456.5	525.7	535.0	669.5	665.8	777.0	897.4	699.0	515.0	462.0	525.1	588.5
Close/Last	520.8	575.6	710.0	687.2	774.7	1090.0	1005.0	710.0	642.0	533.4	627.5	591.6