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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Cocoa(ICE) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   21 23 15 21 26 15 20 22 18 19 22
Exceeded High   15 17 14 15 22 14 15 17 13 16 18
Scenario Percentage   71% 74% 93% 71% 85% 93% 75% 77% 72% 84% 82%
Avg Max Increase   11.15% 10.50% 9.44% 11.65% 12.90% 10.52% 16.89% 14.05% 16.04% 12.38% 7.71%
Max Increase   34.26% 26.44% 20.03% 24.17% 54.06% 25.92% 67.00% 45.98% 47.32% 40.57% 23.61%
Avg Days To Max Increase   15 16 15 13 14 16 21 16 20 11 8
Avg Max Decline   -2.01% -3.47% -1.78% -2.82% -2.44% -2.35% -3.24% -3.76% -4.31% -4.40% -0.69%
Max Decline   -6.42% -8.37% -7.34% -9.28% -11.07% -5.18% -10.57% -7.72% -12.50% -11.26% -4.84%
Avg Days to Max Decline   6 9 8 5 7 7 12 7 14 9 2
2010 Contract Condition     Yes Yes   Yes     Yes Yes    
Action     Yes Yes   Yes     Yes No    
Copyright © 1989- Moore Research Center, Inc. All Rights Reserved.
Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   23 22 30 23 19 30 25 23 27 26 23
Penetrated Low   18 19 23 16 15 22 21 20 22 20 8
Scenario Percentage   78% 86% 77% 70% 79% 73% 84% 87% 81% 77% 35%
Avg Max Decline   9.91% 8.94% 7.05% 6.25% 8.92% 9.76% 10.84% 13.20% 11.10% 7.94% 4.67%
Max Decline   32.59% 25.41% 13.39% 19.16% 19.95% 19.10% 26.80% 29.45% 31.58% 20.88% 12.00%
Avg Days To Max Decline   20 18 16 17 14 20 20 18 17 12 7
Avg Max Increase   -3.73% -1.65% -2.27% -3.11% -3.03% -1.95% -3.83% -2.92% -2.96% -2.52% -0.39%
Max Increase   -11.50% -7.61% -13.02% -10.78% -11.34% -9.12% -23.79% -10.66% -12.36% -10.76% -3.85%
Avg Days to Max Increase   16 11 7 10 10 8 10 11 9 6 2
2010 Contract Condition   Yes     Yes   Yes Yes     Yes Yes
Action   No     No   Yes Yes     Not Yet Not Yet
High 2962 3034 3235 3431 3350 3512 3515 3264 3023 3245 3245 3110
Low 2530 2771 2868 2995 3111 3247 3240 2931 2772 2835 2767 2840
Close/Last 2957 2834 3166 3337 3283 3307 3249 2941 3003 3239 2965 2894

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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.