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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, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   29 38 42 44 45 45 45 45 45 45 45
Closed Higher   12 18 20 15 28 29 29 24 22 21 19
Exceeded High   7 13 15 14 22 22 26 19 16 15 12
Scenario Percentage   58% 72% 75% 93% 79% 76% 90% 79% 73% 71% 63%
Avg Max Increase   3.39% 8.31% 8.67% 9.33% 7.60% 8.46% 10.84% 12.24% 11.83% 13.48% 8.57%
Max Increase   5.88% 16.32% 22.53% 26.86% 16.86% 15.19% 50.87% 58.10% 26.09% 47.03% 17.51%
Avg Days To Max Increase   17 18 16 14 21 19 17 15 20 12 11
Avg Max Decline   -1.03% -1.62% -1.79% -2.85% -2.57% -3.36% -3.33% -1.60% -3.53% -1.85% -1.05%
Max Decline   -4.29% -5.18% -5.61% -8.96% -10.86% -8.19% -13.01% -9.52% -8.34% -6.87% -3.43%
Avg Days to Max Decline   6 10 11 9 10 11 11 7 10 6 1
2018 Contract Condition   Yes Yes Yes   Yes   Yes Yes Yes Yes Yes
Action   Yes Yes Yes   Yes   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   29 38 42 44 45 45 45 45 45 45 45
Closed Lower   17 20 22 29 17 16 16 21 23 24 26
Penetrated Low   10 16 17 17 11 7 12 15 19 22 18
Scenario Percentage   59% 80% 77% 59% 65% 44% 75% 71% 83% 92% 69%
Avg Max Decline   8.75% 10.14% 8.54% 6.34% 7.00% 13.37% 9.15% 10.27% 10.86% 11.65% 8.17%
Max Decline   13.62% 19.72% 18.78% 19.81% 19.64% 32.64% 26.84% 26.16% 30.25% 32.99% 28.62%
Avg Days To Max Decline   21 25 20 16 15 21 18 20 19 10 10
Avg Max Increase   -2.36% -1.72% -2.23% -2.85% -2.21% -2.08% -1.50% -4.60% -2.97% -3.04% -1.17%
Max Increase   -6.86% -4.13% -8.93% -12.13% -8.83% -7.02% -5.96% -17.38% -12.29% -10.99% -4.51%
Avg Days to Max Increase   10 10 8 6 5 4 9 10 11 5 2
2018 Contract Condition         Yes   Yes          
Action         No   No          
High 387.4 363.7 379.9 385.1 386.9 417.0 427.0 437.0 482.2 520.0 517.1 580.0
Low 339.5 341.7 359.6 361.3 372.5 378.0 391.0 396.4 436.2 467.4 473.8 512.0
Close/Last 339.5 363.7 370.0 385.1 378.0 416.6 403.6 434.0 467.2 501.7 515.7 577.2

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