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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Lumber(CME) as of Aug 18, 2023
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   35 38 43 44 44 45 45 45 45 45 45
Closed Higher   17 18 19 17 21 15 29 32 27 23 20
Exceeded High   12 13 15 15 12 15 24 26 24 20 7
Scenario Percentage   71% 72% 79% 88% 57% 100% 83% 81% 89% 87% 35%
Avg Max Increase   10.79% 8.67% 9.87% 11.29% 10.98% 10.35% 14.70% 14.12% 14.89% 12.17% 11.45%
Max Increase   22.09% 32.75% 75.37% 45.08% 21.70% 29.85% 81.74% 63.06% 65.75% 62.41% 27.46%
Avg Days To Max Increase   11 17 18 21 20 13 22 19 18 11 8
Avg Max Decline   -0.30% -1.51% -1.87% -2.39% -2.10% -2.64% -3.82% -3.53% -4.96% -1.71% -1.15%
Max Decline   -3.19% -5.03% -8.90% -5.45% -6.23% -8.87% -10.22% -11.42% -21.17% -6.62% -4.66%
Avg Days to Max Decline   2 5 9 10 14 8 12 11 13 4 3
2023 Contract Condition   Yes   Yes       Yes     Yes  
Action   No   Yes       No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   35 38 43 44 44 45 45 45 45 45 45
Closed Lower   18 20 24 27 22 30 16 12 18 22 25
Penetrated Low   12 16 16 20 18 20 9 6 13 15 22
Scenario Percentage   67% 80% 67% 74% 82% 67% 56% 50% 72% 68% 88%
Avg Max Decline   7.77% 9.88% 10.29% 11.84% 9.36% 7.96% 7.96% 13.21% 10.76% 10.14% 6.00%
Max Decline   14.84% 38.36% 27.39% 23.64% 22.90% 20.19% 17.59% 34.27% 26.57% 19.91% 17.38%
Avg Days To Max Decline   14 19 16 24 19 17 16 19 19 9 10
Avg Max Increase   -1.64% -2.56% -2.60% -3.20% -3.80% -3.84% -3.08% -4.88% -1.71% -3.40% -1.79%
Max Increase   -4.75% -9.30% -14.66% -12.20% -11.43% -20.99% -5.91% -12.30% -7.20% -9.66% -5.78%
Avg Days to Max Increase   13 7 9 11 12 6 9 10 6 10 3
2023 Contract Condition     Yes   Yes Yes Yes   Yes Yes   Yes
Action     Yes   Yes Yes Yes   Yes Yes   Yes
High 970.8 898.2 876.8 705.0 763.3 641.5 585.0 555.0 464.7 435.0 528.5 533.7
Low 800.1 779.2 700.0 635.0 600.7 512.0 458.7 453.0 424.4 362.2 360.2 370.4
Close/Last 800.1 883.6 700.0 705.0 600.7 525.0 458.7 460.6 433.8 382.7 524.1 402.8

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