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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Soybean Oil(CBOT) as of Jan 01, 2018
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   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 22 20 18 22 19 23 23 15 18 29
Exceeded High   19 18 14 13 17 16 17 17 10 14 19
Scenario Percentage   76% 82% 70% 72% 77% 84% 74% 74% 67% 78% 66%
Avg Max Increase   12.28% 16.81% 23.50% 12.65% 7.90% 10.00% 9.86% 11.68% 18.41% 14.92% 6.50%
Max Increase   39.42% 76.66% 69.44% 51.45% 28.43% 22.17% 18.98% 53.06% 79.61% 43.40% 23.04%
Avg Days To Max Increase   19 14 15 17 15 20 16 13 19 11 7
Avg Max Decline   -1.75% -2.73% -1.13% -4.38% -1.51% -3.24% -1.98% -2.33% -2.88% -1.52% -0.67%
Max Decline   -5.02% -8.92% -3.74% -18.49% -7.25% -10.23% -5.22% -9.47% -6.21% -3.28% -3.60%
Avg Days to Max Decline   14 6 6 10 5 8 7 12 9 4 2
2017 Contract Condition           Yes Yes Yes Yes      
Action           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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 23 24 27 23 26 22 22 30 27 16
Penetrated Low   13 22 21 18 18 23 17 18 26 15 9
Scenario Percentage   72% 96% 88% 67% 78% 88% 77% 82% 87% 56% 56%
Avg Max Decline   8.93% 7.79% 9.58% 8.24% 9.04% 8.53% 8.58% 7.52% 6.87% 8.55% 3.64%
Max Decline   12.59% 18.57% 25.30% 26.20% 42.77% 32.62% 19.01% 22.84% 30.93% 24.16% 5.40%
Avg Days To Max Decline   22 23 18 16 17 16 18 17 16 10 7
Avg Max Increase   -1.66% -2.47% -2.47% -2.78% -3.19% -1.81% -4.42% -3.71% -3.42% -2.49% -1.86%
Max Increase   -4.58% -5.96% -12.50% -10.09% -13.21% -7.87% -17.82% -9.66% -13.99% -6.23% -3.86%
Avg Days to Max Increase   8 12 7 10 7 4 9 11 11 6 3
2017 Contract Condition   Yes Yes Yes Yes         Yes Yes Yes
Action   Yes Yes Yes No         Yes Yes Yes
High 35.11 35.74 34.17 34.13 32.83 35.12 34.73 36.70 37.89 38.62 36.96 34.98
Low 31.19 33.98 31.53 31.71 30.21 30.47 32.13 33.00 33.99 34.57 33.33 32.07
Close/Last 35.08 34.05 32.50 32.43 31.25 33.25 33.91 35.53 37.25 34.66 33.85 33.69

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Newsflash

Think again! Fed cuts and MRCI seasonal trends could unlock profits in Treasuries. Challenge yourself to explore the TLT ETF and futures. https://www.barchart.com/story/news/33123477/lower-interest-rates-in-the-3rd-quarter-opportunities-for-traders-and-consumers

Historical research from Moore Research Center, Inc. (MRCI) highlights a seasonal tendency for Treasury prices to rise and yields to fall in July. This pattern holds across the 5-year, 15-year, and 30-year seasonal patterns, implying that the fundamentals during this period have been relatively consistent, driven by market dynamics and investor behavior. July often sees reduced trading volumes due to summer slowdowns, which can amplify price movements in bonds. Investors may rebalance their portfolios in the third quarter, as the end of September marks the Federal government's year-end, which is expected to increase demand for Treasuries.

This seasonal trend offers traders a potential edge. For instance, MRCI data shows the 10-year Treasury note often rallies in July, with prices rising as yields dip. This could be a short-term opportunity for those positioned in Treasury futures or ETFs. However, seasonality is not a guarantee; traders must combine it with other analyses, such as technical indicators or macroeconomic trends, to make informed decisions.