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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 30-Year T-Bonds(CBOT) as of Jun 30, 2017
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Feb Feb Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 39 39 39 39 39 39 39 39
Closed Higher   15 25 18 22 20 15 18 18 26 23 24
Exceeded High   14 21 17 12 14 10 17 18 19 20 19
Scenario Percentage   93% 84% 94% 55% 70% 67% 94% 100% 73% 87% 79%
Avg Max Increase   4.94% 3.77% 3.98% 3.60% 3.52% 6.83% 5.94% 4.50% 4.78% 4.69% 2.41%
Max Increase   12.38% 11.29% 14.46% 6.69% 12.15% 22.19% 13.83% 9.25% 12.19% 11.76% 5.55%
Avg Days To Max Increase   16 15 17 15 18 17 15 18 17 11 11
Avg Max Decline   -0.65% -1.26% -1.56% -0.70% -1.50% -0.84% -0.80% -0.77% -1.14% -0.67% -0.70%
Max Decline   -2.49% -5.56% -5.39% -2.26% -2.74% -3.15% -2.47% -2.27% -4.58% -3.52% -1.95%
Avg Days to Max Decline   5 8 8 8 12 4 7 6 9 4 2
2017 Contract Condition         Yes Yes   Yes Yes      
Action         No 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 Feb Feb Feb Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 39 39 39 39 39 39 39 39
Closed Lower   14 6 14 17 19 24 20 21 13 16 15
Penetrated Low   9 2 10 13 17 17 17 13 7 12 9
Scenario Percentage   64% 33% 71% 76% 89% 71% 85% 62% 54% 75% 60%
Avg Max Decline   2.16% 3.65% 3.87% 4.66% 3.42% 3.93% 4.38% 3.97% 4.78% 3.69% 2.81%
Max Decline   3.81% 4.26% 7.43% 15.40% 7.67% 11.64% 9.68% 6.81% 11.50% 8.04% 5.94%
Avg Days To Max Decline   14 24 22 17 20 18 15 15 16 13 12
Avg Max Increase   -1.27% -2.38% -1.07% -0.69% -1.46% -1.17% -0.64% -0.95% -1.03% -1.90% -0.50%
Max Increase   -4.32% -3.09% -3.84% -2.67% -6.86% -5.19% -2.78% -3.05% -3.63% -5.12% -1.18%
Avg Days to Max Increase   14 22 12 12 11 11 4 4 6 9 3
2017 Contract Condition             Yes     Yes    
Action             No     Not Yet    
High       149~120 152~010 152~010 150~240 154~070 153~280 157~080    
Low       147~080 148~070 148~220 144~240 149~130 149~000 153~040    
Close/Last       149~120 149~190 151~210 149~200 151~250 153~260 153~220    

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Newsflash

Will the stock market continue its tradition of rallying into the new year?  Will there be another "Santa Claus rally?"

After a frightening decline after Brexit and another overnight in an initial response to Donald Trump's election upset, several US stock indices returned toward their all-time highs --- although some international markets are lagging.  Does that provide incredible opportunity?  But which way and when?

MRCI's  Historical Indices Report, complete with seasonal patterns not only for US futures on S&P500, S&P MidCap 400, NASDAQ 100, Russe ll 2000, and DJIA but also for futures on several major international indices including the FT-SE 100, CAC 40, Nikkei 225, DAX, Euro STOXX 50, Swiss Market Index, SPI 200, and Hang Seng Index.