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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Lumber(CME) as of Jan 01, 2008
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 18 27 31 33 34 34 34 34 34 34 34
Closed Higher 6 12 15 12 20 25 24 21 15 15 15
Exceeded High 3 8 11 11 16 20 23 16 10 11 9
Scenario Percentage 50% 67% 73% 92% 80% 80% 96% 76% 67% 73% 60%
Avg Max Increase 2.11% 8.52% 7.54% 9.62% 7.14% 8.94% 10.79% 12.28% 10.82% 12.84% 8.62%
Max Increase 2.66% 16.32% 21.81% 26.86% 16.86% 15.19% 50.87% 58.10% 23.49% 47.03% 17.51%
Avg Days To Max Increase 13 20 13 15 21 19 18 15 20 12 11
Avg Max Decline -0.36% -1.54% -1.28% -2.48% -1.54% -3.28% -3.44% -2.07% -3.34% -2.12% -1.31%
Max Decline -0.47% -3.87% -4.77% -6.48% -5.18% -8.19% -13.01% -9.52% -7.87% -6.87% -3.43%
Avg Days to Max Decline 1 10 11 8 7 12 11 8 12 7 2
2007 Contract Condition         Yes Yes Yes        
Action         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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 18 27 31 33 34 34 34 34 34 34 34
Closed Lower 12 15 16 21 14 9 10 13 19 19 19
Penetrated Low 9 12 13 12 8 4 8 10 16 18 17
Scenario Percentage 75% 80% 81% 57% 57% 44% 80% 77% 84% 95% 89%
Avg Max Decline 8.80% 9.29% 8.01% 6.37% 6.78% 8.70% 6.09% 9.89% 9.45% 10.98% 11.18%
Max Decline 13.62% 19.72% 15.62% 19.81% 17.78% 11.51% 15.61% 26.16% 30.25% 32.99% 39.14%
Avg Days To Max Decline 20 24 20 15 17 16 15 20 19 9 11
Avg Max Increase -2.23% -1.59% -1.65% -2.77% -2.47% -2.22% -2.05% -4.46% -2.89% -2.88% -2.95%
Max Increase -6.86% -4.13% -7.22% -12.13% -8.83% -4.77% -5.96% -17.38% -12.29% -10.13% -15.40%
Avg Days to Max Increase 10 9 6 4 6 4 12 11 12 6 5
2007 Contract Condition Yes Yes Yes Yes       Yes Yes Yes Yes
Action Yes Yes Yes Yes       Yes Yes Yes Yes
High 341.0 327.0 318.0 312.7 300.9 300.8 305.7 312.2 282.9 262.0 259.3
Low 315.5 302.0 289.6 280.0 266.5 285.9 290.1 271.2 257.6 240.1 231.8
Close/Last 325.0 313.3 312.0 283.4 290.9 298.7 298.8 271.2 261.4 240.5 232.2

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