COMMODITY PRODUCTS Moore Research Report. Seasonals Charts Strategies LUMBER

Transcription

1 COMMODITY PRODUCTS 2008 Moore Research Report Seasonals Charts Strategies LUMBER

2 Welcome to the 2008 Moore Historical LUMBER Report This comprehensive report provides historical daily charts, cash and basis charts, and seasonal strategies to help you trade. For more information on Random Length Lumber futures and options, visit or contact To begin trading Random Length Lumber futures and options on the CME Globex electronic trading platform, contact your broker directly.

3 Historical Lumber Report Table of Contents 2008 Edition Page For Your Information Lumber Futures Cash & Basis Daily Charts Miscellaneous Preface How to Interpret Seasonal & Average Charts How to Interpret a Strategy Sheet How to Interpret Average Volatility & Bull/Bear Charts Section Index Futures & Options Specifications Weekly & Monthly Nearby Lumber Charts Seasonal, Seasonal Average, & Weekly Charts Seasonal Strategy Summary Strategy Detail Tables Howe s Limit Rule Section Index Cash Seasonal s & Weekly Charts Basis Seasonal Average & Weekly Charts Section Index Daily Futures Price Charts Section Index Option Volatility Charts Bull/Bear Charts (Note: Charts current through December 2007.) The Moore Research Center, Inc. (MRCI), located on 73 secluded acres outside Eugene, Oregon, is sought for its futures market analysis, combining many years of intensive computerized study and the experience of real-time trading. Our hardware and software both are constantly upgraded, giving MRCI the speed and depth of capability to study price movement that we believe are state-of-the-art for the industry. Copyright Moore Research Center, Inc. No part of this publication may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopy, recording, facsimile, or any information storage and retrieval system, without written permission. Retransmission by fax or other means which results in the creation of an additional copy is unlawful.

4 Preface Preface Knowledge is a foundation essential to making successful decisions. Does a prudent businessman market product/purchase raw material without first researching profit/cost potential? Does a successful futures trader/investor jump at a hot tip or a story in The Wall St. Journal? Or would one first seek some background some history? The purpose of this publication is to quantify price history both cash and futures in the lumber market, offer it from a variety of relevant perspectives, and present it in a format useful to those whose commerce is substantially affected by fluctuations in lumber prices. The business executive and investor alike are encouraged to examine the following pages thoroughly, for seasonality can be a primary component of price movement in lumber. Seasonal s Nearly all markets real estate, interest rates, cash lumber, stock index futures are responsive to various fundamental forces, many seasonal in nature. Such forces as weather, fiscal calendars, Treasury refundings, and specific characteristics of futures contracts (such as expiration) tend to recur and influence, to one degree or another, certain markets every year. As any market responds to a series of these annually recurring factors, seasonal price patterns tend to evolve. Daily seasonal patterns, both the 15-year and the most recent 5-year, are derived from and a composite of the historical daily price activity in the specific futures contract or cash market under consideration. The numerical index to the right of each seasonal pattern chart reflects the historical tendency for that market to reach its seasonal high (100) or low (0) at a given time. Daily seasonal average spread charts do portray averaged price differences between futures or between futures and cash. Weekly continuation charts, also contract-specific, are intended to illustrate historical relative value, turning points, and longer-term trends. Points on futures spread charts are plotted by subtracting the price of the secondnamed contract from that of the first. Per industry standard, points on basis charts are plotted by subtracting the futures price from the designated cash price, thereby obtaining quotes such as $16 under or $20 over futures. This publication presents average cash basis charts (see page 3). Windows of Opportunity From these seasonal patterns, one can derive a seasonal approach to both cash and futures markets that is designed to anticipate, enter, and capture recurrent price trends as they emerge and exit before they are realized. Within these patterns may exist certain windows of opportunity wherein well-defined seasonal tops, bottoms, and trends tend to appear. Moore Research Center, Inc. (MRCI) computer programs have analyzed trends that have recurred in the same direction during a similar period of time in at least 80% of the last 15 years. The underlying theory assumes that causal fundamental factors specific to that time period must have existed and may be influential again, thus making each strategy of such historical reliability valid for trading considerations. However, that past performance is not necessarily indicative of future results. Even though these are potential strategies only and not recommendations, there is no mystery to them. They are merely presentations of quantified historical fact. However, if knowledge is essential to decisionmaking, then historically reliable strategies would seem to offer a starting point from which to take a reasoned approach to the lumber market. Commercial users/producers, then, may find seasonal analysis vital to managing cost/profit risks. The consistency implied by seasonality and its more reliable strategies can afford, to the business strategist planning into the future, greater confidence in purchasing raw material and/or marketing product. Price movement affects management decisions. Those with the knowledge to anticipate price movement more accurately also have the capacity to make successful decisions more consistently. Random Lengths All lumber cash prices used in this publication are courtesy of Random Lengths Publications, Inc., whom we wish to thank. For further information, contact: Random Lengths Publications, Inc. P.O. Box 867 Eugene, OR phone: (541) fax: (541) Website: 2 HISTORICAL LUMBER REPORT

5 How to Interpret Seasonal Charts Each chart consists of two aspects of a market s seasonal pattern the most recent 15-year (solid line) and its most recent 5-year (dotted line), November 2007 contracts inclusive. Thus, any evolution in the pattern may be perceived, as well as trends, tops, and bottoms coincident to both. The numerical index to the right measures the greatest historical tendency for the market to make a seasonal high (100) or low (0) at a given time. Besides illustrating the more obvious seasonal tops, seasonal bottoms, and seasonal trends, these patterns also suggest certain cause/effect phenomena which may present secondary opportunities. For instance, do smaller but well-defined breaks/rallies typically precede certain events, such as Thanksgiving or first deliveries against a lead contract? If so, does there exist an implied opportunity?! January Lumber(CME) Seasonal s( ) Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan How to Interpret Seasonal Average Charts Seasonal spread average charts in the Lumber Futures section portray the averaged difference at any given time between two designated futures contracts. Per industry standard, the price of the second-named contract is subtracted from the price of the first. Seasonal average basis charts in the Cash & Basis section portray the averaged difference between a designated cash price (for standard/construction grade lumber) and a designated futures contract price, a difference commonly referred to as basis. Per industry standard, the daily futures closing price is subtracted from the underlying cash price to determine chart points and cash quotes of $5 over or $20 under futures the fluctuation of cash around futures. Because futures prices are the reference against which cash quotes are made, futures prices are represented on these charts by the 0-line. [The chart itself consists of both the 15-year average (the solid line) and its most recent 5-year average (the dotted line).] From these charts, one may discern not only the degree to which basis typically widens/narrows at any given time of the year but also the rubber-band effect of the delivery process.! Data Source: Random Lengths Publications Inc 2x4 KD SPF(W) STD & BTR R/L - Jan Lumber(CME) Average(93-07) 4 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan MOORE RESEARCH CENTER, INC How to Interpret Seasonal /Average Charts

6 How to Interpret a Strategy Sheet Unique MRCI strategy sheets present each historically reliable seasonal trade with a table of its relevant detail. Traders are encouraged to evaluate each strategy individually; some may be more speculative in nature than others. To detect a trade, MRCI s computer system scrutinizes the last 15 years (when available) of historical price data for those trends that have moved in the same direction, during the same period of time, in at least 80% of those past years. Those strategies are then subjected to further criteria established for average profit and duration of time window. (Special reports may present strategies with duplication/overlap and trading in spot month contracts that have commercial application.) Once discovered and initially evaluated, a trading strategy is outlined and its crucial data tabulated and presented in the following format for closer analysis. Reading the Table For each contract year studied, the table lists entry date and price, exit date and price, and the ultimate profit or loss. Entry and exit prices are definitively based on settlement prices for the dates listed, as are profit and loss values. For optimized trade dates that fell on weekends or holidays, entries were considered to have been made on the following trading day but exits on days prior. [In representing historical fact, these strategy sheets do not utilize equity protection methods (STOPS).] Thus, the table encourages further evaluation by providing historically accurate peak-equity and worst-drawdown dates and amounts for each year included in the analysis. The bottom section of the table calculates the strategy s historical reliability and overall average results. Historical strategies represent computer-optimized statistical analyses with neither the benefit nor the bias of either fundamental or technical consideration. When trading in real time, MRCI urges all traders to employ proper money management techniques at all times.! How to Interpret a Strategy Sheet Enter on approximately 01/02 - Exit on approximately 01/12 Buy May Lumber(CME) / Sell Jan Lumber(CME) BEST BEST WORST WORST CONT YEAR ENTRY ENTRY PRICE EXIT EXIT PRICE PROFIT PROFIT /03/ /12/ /12/ /10/ /03/ /12/ /11/ /04/ /03/ /12/ /11/ /02/ /12/ /05/ /09/ /02/ /10/ /09/ /03/ /02/ /11/ /08/ /07/ /02/ /12/ /12/ /03/ /03/ /12/ /12/ /04/ /04/ /12/ /12/ /07/ /02/ /12/ /09/ /02/ /10/ /10/ /02/ /12/ /12/ /08/ /03/ /12/ /06/ /11/ /03/ /12/ /06/ /04/ /12/ /05/ /11/ Percentage Correct 100 Average Profit on Winning Trades Winners 15 Average Loss on Trades Losers 0 Average Net Profit Per Trade Total trades 15 HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED FOR COMMISSION AND SLIPPAGE. 4 HISTORICAL LUMBER REPORT

7 How to Interpret Volatility Charts Both futures and options traders can make use of patterns both in price direction and in volatility, a standardized measure of risk. Also an important component of option pricing, volatility can make premiums cheap or expensive. Just as insurance companies use actuarial tables, option traders wanting to know the risk of an event happening can determine the normal by referring to a chart of average historical volatility, a diagram plotting the average, or normal, volatility throughout the life of the contract. By way of explanation, the center line in these charts represents the 15-year average of volatility in futures. At any given point on this line, volatility has been above half the time and below the other half. The top line is at +1 standard deviation (STD), the bottom line at -1 STD. The area between these two may be considered a probability range, wherein volatility has remained 68% of the time. During the remaining 32% of the time, volatility was outside that range (16% above +1 STD, 16% below -1 STD). By comparing current implied volatility to average historical volatility, option traders may better determine whether option premiums are cheap or expensive historically.! Jan Lumber(CME) Ave Volatility(93-07) 40% 35% +1 STD Above 30% Central Tendency 25% 20% -1 STD Below 15% Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan How to Interpret Bull/Bear Charts Each bull/bear chart consists of one composite pattern for bull years (solid line) and one for bear years (dotted line), with component contract years for each indicated in the box ( 97 denotes 1997) for reference. Rather than chronologically, the order of contract years listed is determined by the degree of inclination/declination of the line best describing its scatterplot. In other words, the most bullish (as defined by comparing slopes) of the bull years is listed first, but the most bearish of the bear years is listed last. That neither bull nor bear pattern reaches either 0 or 100 reflects a conscious decision made to better reproduce the vigor of dynamic trends. When MRCI constructs a 15-year pattern, averaged raw percentage values for each calendar day typically lie between 35 and 65 and are then blown out to between 0 and 100 to reflect greatest tendency. That final step is not taken when constructing these bull/bear patterns, and thus each better represents the extent of the typical bull or bear move.! Bear Bull Bull years: Bear years: January Lumber(CME) Bull/Bear s( ) Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan MOORE RESEARCH CENTER, INC. 5 10% How to Interpret Volatility & Bull/Bear Charts

8 Personal Notes 6 HISTORICAL LUMBER REPORT

9 Lumber Futures Page Contract Specifications Futures Options Long-term Nearby Futures Charts Weekly Monthly Seasonal 1, Spread Average 2 and Weekly Continuation Charts Jan; Jan vs: Mar, May Mar; Mar vs: May, Jul May; May vs: Jul, Sep Jul; Jul vs: Sep, Nov Sep; Sep vs: Nov, Jan Nov; Nov vs: Jan, Mar Seasonal Strategies Seasonal Strategy Summary Seasonal Strategy Detail Tables Howe s Limit Rule Howe s Limit Rule Explanation Jan Limits ( ) Mar Limits ( ) May Limits ( ) Jul Limits ( ) Sep Limits ( ) Nov Limits ( ) See explanation at the top of page 3. 2 See explanation at the bottom of page 3. 3 See explanation on page 4. Lumber Futures MOORE RESEARCH CENTER, INC. 7

10 CME Random-Length Lumber Futures & Options CME Lumber Futures & Options Specifications Ticker Symbol LB Trading Unit 110,000 Board-feet Description 1 Nominal 2x4 s of random lengths from 8 to 20 ft. 2 ; kiln dried (moisture content of each piece shall not exceed 19%) and double-end trimmed; surfaced four sides and eased edges and of minimum dressed dimensions. 3 Grade 1 #1 and #2 and better. 4 Species 1,5 Hem-Fir, Engleman Spruce, Lodgepole Pine, Engleman Spruce/Lodgepole Pine and/or Spruce-Pine-Fir (SPF). Origin 1,5 Manufactured in California, Idaho, Montana, Nevada, Oregon, Washington, Wyoming in the United States or in Alberta and British Columbia in Canada. Price Quote $ per MBF (Thousand Board-Feet) Minimum Price $.10 per MBF = $11.00/contract Fluctuation (Tick) Daily Price $10 per MBF ($1100/contract) Limits with no limit in the spot month. NOTE: If the first contract, subject to limits, closes limit bid or limit offer two days in a row, then the daily price limit expands to $15.00 per MBF ($1650/contract) until the market no longer closes at the new limit. Contract Months Jan, Mar, May, Jul, Sep, Nov Trading Hours (Chicago Time) Last Day of Trading 9:00 AM - 1:05 PM Last day: 9:00 AM - 12:05 PM Business day immediately preceding the 16th calendar day of the contract month. 1 Consult CME Rules for more detail. 2 Random-length lumber must conform to specified size tally limits. 3 In addition, all lumber must be steel-banded in units of equal lengths (except for 18- and 20-foot lengths which may be banded together); the units shall be individually paper-wrapped. 4 All lumber shall meet the quality requirements of PS 20-94, published by the United States Department of Commerce, and shall comply with the requirements for inspection and reinspection of an agency recognized by the American Lumber Standards Committee and/or Canadian Lumber Standards Committee. 12/90 5 Hem-Fir not deliverable if manufactured in Canada. Neither Hem-Fir nor SPF deliverable if manufactured in those portions (1) of Washington including and to the west of Whatcom, Skagit, Snohomish, King, Pierce, Lewis, and Skamania counties; (2) of Oregon including and to the west of Multnomah, Clackamas, Marion, Linn, Lane, Douglas, and Jackson counties; and (3) of California west of Interstate Highway 5 nor south of US Highway 50. Ticker Symbols Underlying Contract Strike Prices 1 Premium Quotations Minimum Price Fluctuation(Tick) Daily Price Limit Contract Months Trading Hours 3 (Chicago Time) Last Day of Trading Minimum Performance Bond Calls: KL Puts: JL One Lumber futures contract (110,000 board-feet) $5 per MBF (Thousand Board- Feet), e.g., $, $255, $ Dollars per MBF, e.g., 2.00 premium = $220 $0.10 per MBF = $11.00/contract; cabinet = $ None Jan, Mar, May, Jul, Sep, Nov 9:00 AM - 1:07 PM Last business day of the month prior to the delivery month of the underlying futures contract. In the event that the underlying futures market does not open on the scheduled expiration day, the option expiration shall be extended to the next day on which the underlying futures market is open for trading. No performance bond required for put or call option buyers, but the premium must be paid in full; option sellers must meet additional margin requirements determined by the Standard Portfolio Analysis of Risk (SPAN) performance bond system. Exercise Procedure 1 An option may be exercised by the buyer up to and including the last day of trading. Exercise is accomplished by the clearing member representing the buyer presenting an Exercise Notice to the Clearing House by 7:00 PM on the day of exercise. 1 Consult your brokerage firm for additional or specific requirements, policies, and procedures. 2 A trade can be made at a nominal price a cabinet whether or not it results in liquidation for both parties to the trade. 3 Closing times may vary. Consult CME web site for holiday schedule. 8 HISTORICAL LUMBER REPORT

11 Long-term Nearby Futures Charts 50 Weekly Nearby Lumber(CME) Monthly Nearby Lumber(CME) Lumber Weekly & Monthly Nearby Charts MOORE RESEARCH CENTER, INC. 9

12 Jan Lumber(CME) Seasonal(93-07) Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan 0 Jan Lumber(CME) - Mar Lumber(CME) Average(93-07) Futures Seasonal s & Spread Averages: January Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Jan Lumber(CME) - May Lumber(CME) Average(93-07) Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan HISTORICAL LUMBER REPORT

13 Weekly Jan Lumber(CME) Weekly Jan Lumber(CME) - Mar Lumber(CME) Weekly Jan Lumber(CME) - May Lumber(CME) Futures Weeklies: January MOORE RESEARCH CENTER, INC. 11

14 Mar Lumber(CME) Seasonal(93-07) Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar 0 Mar Lumber(CME) - May Lumber(CME) Average(93-07) Futures Seasonal s & Spread Averages: March Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Mar Lumber(CME) - Jul Lumber(CME) Average(93-07) Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar HISTORICAL LUMBER REPORT

15 50 Weekly Mar Lumber(CME) Weekly Mar Lumber(CME) - May Lumber(CME) Weekly Mar Lumber(CME) - Jul Lumber(CME) Futures Weeklies: March MOORE RESEARCH CENTER, INC. 13

16 May Lumber(CME) Seasonal(93-07) Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May 0 May Lumber(CME) - Jul Lumber(CME) Average(93-07) Futures Seasonal s & Spread Averages: May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May May Lumber(CME) - Sep Lumber(CME) Average(93-07) Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May HISTORICAL LUMBER REPORT

17 50 Weekly May Lumber(CME) Weekly May Lumber(CME) - Jul Lumber(CME) Weekly May Lumber(CME) - Sep Lumber(CME) Futures Weeklies: May MOORE RESEARCH CENTER, INC. 15

18 Jul Lumber(CME) Seasonal(93-07) Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul 0 Jul Lumber(CME) - Sep Lumber(CME) Average(93-07) Futures Seasonal s & Spread Averages: July Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Jul Lumber(CME) - Nov Lumber(CME) Average(93-07) Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul HISTORICAL LUMBER REPORT

19 50 Weekly Jul Lumber(CME) Weekly Jul Lumber(CME) - Sep Lumber(CME) Weekly Jul Lumber(CME) - Nov Lumber(CME) Futures Weeklies: July MOORE RESEARCH CENTER, INC. 17

20 Sep Lumber(CME) Seasonal(93-07) Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep 0 Sep Lumber(CME) - Nov Lumber(CME) Average(93-07) 25.0 Futures Seasonal s & Spread Averages: September Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Sep Lumber(CME) - Jan Lumber(CME) Average(93/94-07/08) Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep HISTORICAL LUMBER REPORT

21 50 Weekly Sep Lumber(CME) Weekly Sep Lumber(CME) - Nov Lumber(CME) Weekly Sep Lumber(CME) - Jan Lumber(CME) Futures Weeklies: September MOORE RESEARCH CENTER, INC. 19

22 Nov Lumber(CME) Seasonal(93-07) Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov 0 Nov Lumber(CME) - Jan Lumber(CME) Average(93/94-07/08) 5.0 Futures Seasonal s & Spread Averages: November Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Nov Lumber(CME) - Mar Lumber(CME) Average(93/94-07/08) Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov HISTORICAL LUMBER REPORT

23 50 Weekly Nov Lumber(CME) Weekly Nov Lumber(CME) - Jan Lumber(CME) Weekly Nov Lumber(CME) - Mar Lumber(CME) Futures Weeklies: November MOORE RESEARCH CENTER, INC. 21

24 Personal Notes 22 HISTORICAL LUMBER REPORT

25 Seasonal Lumber Strategies Seasonal Strategy 1 Buy May Lumber(CME) Sell Jan Lumber(CME) Entry Date Exit Date Win Pct Win Years Loss Years Total Years Average Profit Ave Pft Per Day 1/02 1/ /11 24 Pg No 2 Buy Lumber(CME) March 1/15 2/ / Buy Lumber(CME) March 1/29 2/ / Buy Jul Lumber(CME) Sell Mar Lumber(CME) 2/09 3/ / Sell Lumber(CME) May 2/27 3/ / Sell Lumber(CME) November 3/09 3/ / Sell Lumber(CME) July 4/19 7/ / Sell Lumber(CME) July 5/18 6/ / Sell Lumber(CME) July 5/28 6/ / Sell Lumber(CME) July 6/18 6/ / Sell Lumber(CME) September 6/22 7/ / Buy Mar Lumber(CME) Sell Nov Lumber(CME) 9/03 10/ / Sell Lumber(CME) November 9/04 10/ / Sell Lumber(CME) January 9/05 10/ / Sell Lumber(CME) November 9/10 10/ / Buy Lumber(CME) January 10/27 11/ / Buy Lumber(CME) July 11/07 2/ / Sell Lumber(CME) January 11/30 12/ / Buy Lumber(CME) May 12/13 2/ / Buy Lumber(CME) March 12/14 2/ / Buy Jan Lumber(CME) Sell May Lumber(CME) 12/15 12/ / Buy Lumber(CME) July 12/20 2/ /49 34 For other MRCI products and information: or (541) Fax: (541) Website: sales@mrci.com **** All strategy calculations are based on a contract of 110,000 board-feet in an effort to reflect what would have happened had the current contract been in effect. Note: These trade strategies have worked with historical consistency. No representation is being made that they will work this year or in the future. Please check current market fundamentals and technical conditions before considering these trades. This information is not a recommendation to buy or sell at this time, but merely a historical presentation of trade strategies. Past results are not necessarily indicative of future results. No representation is being made that an account will or is likely to achieve profits or incur losses similar to those shown. SEASONAL TENDENCIES ARE A COMPOSITE OF SOME OF THE MORE CONSISTENT COMMODITY FUTURES SEASONALS THAT HAVE OCCURRED OVER THE PAST 15 YEARS. THERE ARE USUALLY UNDERLYING FUNDAMENTAL CIRCUMSTANCES THAT OCCUR ANNUALLY THAT TEND TO CAUSE THE FUTURES MARKETS TO REACT IN A SIMILAR DIRECTIONAL MANNER DURING A CERTAIN CALENDAR PERIOD OF THE YEAR. EVEN IF A SEASONAL TENDENCY OCCURS IN THE FUTURE, IT MAY NOT RESULT IN A PROFITABLE TRANSACTION AS FEES, AND THE TIMING OF THE ENTRY AND LIQUIDATION MAY IMPACT ON THE RESULTS. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT HAS IN THE PAST OR WILL IN THE FUTURE ACHIEVE PROFITS UTILIZING THESE STRATEGIES. NO REPRESENTATION IS BEING MADE THAT PRICE PATTERNS WILL RECUR IN THE FUTURE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED FOR COMMISSION AND SLIPPAGE. Copyright Moore Research Center, Inc. MOORE RESEARCH CENTER, INC. 23 Futures Strategy Summary

26 CONT YEAR ENTRY Buy May Lumber(CME) / Sell Jan Lumber(CME) Enter on approximately 01/02 - Exit on approximately 01/12 ENTRY PRICE EXIT EXIT PRICE PROFIT PROFIT BEST BEST WORST WORST /03/ /12/ /12/ /10/ /03/ /12/ /11/ /04/ /03/ /12/ /11/ /02/ /12/ /05/ /09/ /02/ /10/ /09/ /03/ /02/ /11/ /08/ /07/ /02/ /12/ /12/ /03/ /03/ /12/ /12/ /04/ /04/ /12/ /12/ /07/ /02/ /12/ /09/ /02/ /10/ /10/ /02/ /12/ /12/ /08/ /03/ /12/ /06/ /11/ /03/ /12/ /06/ /04/ /12/ /05/ /11/ Percentage Correct 100 Average Profit on Winning Trades Winners 15 Average Loss on Trades Losers 0 Average Net Profit Per Trade Total trades 15 HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED FOR COMMISSION AND SLIPPAGE. Futures Strategy Tables CONT YEAR BUY Buy on approximately 01/15 - Exit on approximately 02/11 BUY PRICE EXIT EXIT PRICE Lumber(CME) March PROFIT PROFIT BEST BEST Contract Size: 110,000 board feet WORST WORST /16/ /09/ /18/ /31/ /17/ /10/ /24/ /09/ /18/ /11/ /08/ /15/ /11/ /11/ /30/ /15/ /11/ /10/ /21/ /15/ /11/ /25/ /16/ /09/ /02/ /23/ /18/ /11/ /03/ /25/ /15/ /11/ /25/ /09/ /15/ /11/ /10/ /22/ /15/ /11/ /23/ /05/ /15/ /09/ /07/ /16/ /16/ /10/ /10/ /18/ /17/ /11/ /07/ /31/ /15/ /11/ /11/ /21/ Percentage Correct 87 Average Profit on Winning Trades Winners 13 Average Loss on Trades Losers 2 Average Net Profit Per Trade Total trades 15 HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED FOR COMMISSION AND SLIPPAGE. 24 HISTORICAL LUMBER REPORT

27 CONT YEAR BUY Buy on approximately 01/29 - Exit on approximately 02/11 BUY PRICE EXIT EXIT PRICE Lumber(CME) March PROFIT PROFIT BEST BEST Contract Size: 110,000 board feet WORST WORST /29/ /09/ /09/ /31/ /30/ /10/ /02/ /09/ /31/ /11/ /08/ /29/ /11/ /11/ /30/ /29/ /11/ /10/ /29/ /11/ /11/ /05/ /29/ /09/ /02/ /07/ /31/ /11/ /03/ /01/ /29/ /11/ /09/ /29/ /11/ /10/ /29/ /11/ /07/ /05/ /29/ /09/ /07/ /30/ /10/ /10/ /31/ /31/ /11/ /07/ /29/ /11/ /11/93 9 Percentage Correct 80 Average Profit on Winning Trades Winners 12 Average Loss on Trades Losers 3 Average Net Profit Per Trade Total trades 15 HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED FOR COMMISSION AND SLIPPAGE. CONT YEAR ENTRY Buy Jul Lumber(CME) / Sell Mar Lumber(CME) Enter on approximately 02/09 - Exit on approximately 03/11 ENTRY PRICE EXIT EXIT PRICE PROFIT PROFIT BEST BEST WORST WORST /09/ /09/ /09/ /23/ /09/ /10/ /28/ /10/ /09/ /11/ /22/ /10/ /09/ /11/ /11/ /12/ /10/ /11/ /06/ /11/ /11/ /22/ /28/ /09/ /09/ /23/ /02/ /09/ /10/ /09/ /11/ /09/ /11/ /10/ /11/ /09/ /11/ /03/ /10/ /10/ /11/ /05/ /18/ /09/ /11/ /07/ /09/ /10/ /31/ /10/ /09/ /11/ /03/ /18/ /09/ /11/ /11/ /31/ Percentage Correct 100 Average Profit on Winning Trades Winners 15 Average Loss on Trades Losers 0 Average Net Profit Per Trade Total trades 15 HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED FOR COMMISSION AND SLIPPAGE. MOORE RESEARCH CENTER, INC. 25 Futures Strategy Tables

28 CONT YEAR SELL Sell on approximately 02/27 - Exit on approximately 03/27 SELL PRICE EXIT EXIT PRICE Lumber(CME) May PROFIT PROFIT BEST BEST Contract Size: 110,000 board feet WORST WORST /27/ /27/ /27/ /28/ /27/ /27/ /23/ /13/ /28/ /24/ /10/ /17/ /27/ /26/ /23/ /01/ /27/ /27/ /27/ /21/ /27/ /27/ /27/ /21/ /27/ /27/ /20/ /28/ /27/ /24/ /03/ /01/ /26/ /19/ /27/ /27/ /11/ /27/ /27/ /27/ /10/ /04/ /27/ /27/ /29/ /19/ /27/ /27/ /23/ /28/ /25/ /21/ /03/ /01/ /26/ /02/ /15/ Percentage Correct 80 Average Profit on Winning Trades Winners 12 Average Loss on Trades Losers 3 Average Net Profit Per Trade Total trades 15 HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED FOR COMMISSION AND SLIPPAGE. Futures Strategy Tables CONT YEAR SELL Sell on approximately 03/09 - Exit on approximately 03/31 SELL PRICE EXIT EXIT PRICE Lumber(CME) November PROFIT PROFIT BEST BEST Contract Size: 110,000 board feet WORST WORST /09/ /30/ /20/ /14/ /09/ /31/ /23/ /15/ /09/ /31/ /14/ /17/ /09/ /31/ /23/ /10/ /31/ /31/ /21/ /11/ /28/ /28/ /21/ /09/ /30/ /27/ /20/ /09/ /31/ /28/ /09/ /31/ /19/ /09/ /31/ /10/ /30/ /10/ /31/ /19/ /11/ /11/ /29/ /28/ /13/ /09/ /31/ /31/ /14/ /09/ /31/ /31/ /10/ /09/ /31/ /31/ /15/ Percentage Correct 93 Average Profit on Winning Trades Winners 14 Average Loss on Trades 0 0 Losers 1 Average Net Profit Per Trade Total trades 15 HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED FOR COMMISSION AND SLIPPAGE. 26 HISTORICAL LUMBER REPORT

29 CONT YEAR SELL Sell on approximately 04/19 - Exit on approximately 07/07 SELL PRICE EXIT EXIT PRICE Lumber(CME) July PROFIT PROFIT BEST BEST Contract Size: 110,000 board feet WORST WORST /19/ /06/ /09/ /15/ /19/ /07/ /29/ /26/ /19/ /07/ /27/ /31/ /19/ /07/ /30/ /07/ /21/ /07/ /15/ /23/ /19/ /05/ /07/ /06/ /19/ /06/ /05/ /21/ /19/ /07/ /07/ /26/ /19/ /07/ /06/ /20/ /07/ /01/ /21/ /07/ /09/ /29/ /19/ /05/ /20/ /24/ /19/ /07/ /09/ /19/ /07/ /25/ /31/ /19/ /07/ /01/ Percentage Correct 80 Average Profit on Winning Trades Winners 12 Average Loss on Trades Losers 3 Average Net Profit Per Trade Total trades 15 HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED FOR COMMISSION AND SLIPPAGE. CONT YEAR SELL Sell on approximately 05/18 - Exit on approximately 06/27 SELL PRICE EXIT EXIT PRICE Lumber(CME) July PROFIT PROFIT BEST BEST Contract Size: 110,000 board feet WORST WORST /18/ /27/ /21/ /15/ /18/ /27/ /06/ /23/ /18/ /27/ /27/ /31/ /18/ /25/ /17/ /19/ /27/ /28/ /23/ /20/ /27/ /07/ /22/ /18/ /27/ /25/ /21/ /18/ /27/ /27/ /12/ /18/ /25/ /25/ /25/ /18/ /26/ /01/ /19/ /27/ /09/ /20/ /20/ /27/ /20/ /24/ /18/ /27/ /09/ /23/ /18/ /27/ /27/ /31/ /18/ /25/ /25/ Percentage Correct 80 Average Profit on Winning Trades Winners 12 Average Loss on Trades Losers 3 Average Net Profit Per Trade Total trades 15 HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. RESULTS NOT ADJUSTED FOR COMMISSION AND SLIPPAGE. MOORE RESEARCH CENTER, INC. 27 Futures Strategy Tables