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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Cocoa(ICE) as of Sep 30, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   17 23 23 22 19 20 21 26 21 14 24
Exceeded High   16 16 19 16 16 17 18 14 14 11 13
Scenario Percentage   94% 70% 83% 73% 84% 85% 86% 54% 67% 79% 54%
Avg Max Increase   10.59% 9.34% 9.22% 9.46% 11.28% 8.29% 10.14% 8.80% 9.09% 9.57% 6.47%
Max Increase   29.56% 28.24% 27.39% 21.31% 20.34% 23.43% 22.98% 20.13% 28.13% 24.57% 24.48%
Avg Days To Max Increase   17 17 18 19 16 15 14 13 14 11 8
Avg Max Decline   -1.93% -2.67% -3.45% -3.03% -3.97% -3.18% -4.58% -3.31% -3.21% -2.52% -1.19%
Max Decline   -9.11% -6.90% -6.94% -7.04% -11.33% -13.39% -13.88% -7.28% -9.29% -7.83% -8.68%
Avg Days to Max Decline   5 11 10 9 12 9 12 7 9 6 3
2024 Contract Condition   Yes Yes Yes Yes     Yes Yes Yes    
Action   Yes Yes Yes No     Yes Yes Not Yet    
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   27 22 22 23 26 25 24 17 24 31 21
Penetrated Low   25 20 17 19 23 18 20 12 22 22 9
Scenario Percentage   93% 91% 77% 83% 88% 72% 83% 71% 92% 71% 43%
Avg Max Decline   7.33% 9.44% 11.61% 9.88% 7.66% 8.15% 8.58% 8.06% 9.10% 6.48% 5.04%
Max Decline   16.73% 24.40% 27.24% 25.77% 17.36% 20.77% 25.69% 16.80% 27.01% 20.91% 12.21%
Avg Days To Max Decline   17 18 22 17 19 16 20 19 16 12 8
Avg Max Increase   -2.22% -3.31% -2.84% -2.53% -3.50% -3.61% -3.27% -5.70% -2.13% -2.33% -1.80%
Max Increase   -8.89% -22.72% -11.66% -6.72% -14.59% -8.79% -9.63% -14.93% -6.10% -9.98% -5.17%
Avg Days to Max Increase   7 9 13 9 11 8 12 15 9 5 3
2024 Contract Condition           Yes Yes          
Action           No Yes          
High 4025 4525 5696 7786 10070 8351 9004 7562 8242 8796    
Low 3864 3801 4492 5211 6728 5865 6058 6000 6349 6819    
Close/Last 3934 4493 5195 7533 8079 7713 6591 6991 7671 7722    

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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.