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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Lumber(CME) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 21 28 32 36 37 37 37 37 37 37 37
Closed Higher 14 18 19 20 18 17 13 22 19 11 19
Exceeded High 10 13 19 17 13 11 11 14 13 9 10
Scenario Percentage 71% 72% 100% 85% 72% 65% 85% 64% 68% 82% 53%
Avg Max Increase 5.21% 7.06% 8.18% 9.33% 9.15% 9.89% 12.85% 9.87% 10.89% 14.37% 6.55%
Max Increase 13.23% 13.56% 31.46% 52.86% 38.49% 39.11% 23.00% 19.99% 25.13% 26.44% 12.90%
Avg Days To Max Increase 17 20 16 15 18 19 17 16 17 11 7
Avg Max Decline -1.73% -2.22% -1.93% -1.58% -2.27% -2.26% -1.35% -1.52% -4.21% -2.33% -1.43%
Max Decline -5.88% -5.83% -8.33% -7.63% -7.72% -5.74% -3.66% -5.48% -9.89% -9.06% -4.26%
Avg Days to Max Decline 6 9 10 6 10 13 5 9 9 7 2
2009 Contract Condition   Yes     Yes Yes   Yes Yes    
Action   No     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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years 21 28 32 36 37 37 37 37 37 37 37
Closed Lower 7 10 13 16 19 20 24 15 18 26 18
Penetrated Low 4 7 8 13 16 15 18 14 16 20 13
Scenario Percentage 57% 70% 62% 81% 84% 75% 75% 93% 89% 77% 72%
Avg Max Decline 7.93% 7.15% 9.09% 7.55% 7.42% 9.11% 10.66% 11.08% 11.90% 11.47% 7.18%
Max Decline 11.00% 12.53% 23.38% 22.97% 22.74% 17.90% 25.46% 25.87% 26.91% 25.43% 13.75%
Avg Days To Max Decline 14 15 18 19 21 17 14 22 17 14 12
Avg Max Increase -2.54% -0.35% -0.82% -2.88% -1.90% -3.17% -2.71% -4.76% -3.06% -3.21% -0.83%
Max Increase -6.38% -1.22% -4.64% -14.33% -6.07% -11.86% -10.25% -9.43% -11.47% -16.79% -3.15%
Avg Days to Max Increase 8 3 8 9 12 6 11 15 7 5 3
2009 Contract Condition Yes   Yes Yes     Yes     Yes Yes
Action Yes   Yes No     Yes     Yes Yes
High 256.0 241.9 236.0 218.8 197.5 197.9 203.9 214.2 234.7 215.8 214.0
Low 218.2 227.4 205.0 167.8 176.6 173.3 184.3 181.6 207.0 179.0 170.3
Close/Last 227.4 235.4 219.0 176.2 182.0 191.4 187.4 207.0 211.8 196.1 176.8

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