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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Canadian Dollar(CME) as of Jan 01, 2013
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   33 35 35 36 36 36 36 36 36 36 36
Closed Higher   21 16 21 17 20 24 18 13 20 12 19
Exceeded High   18 9 15 11 17 18 12 12 18 11 13
Scenario Percentage   86% 56% 71% 65% 85% 75% 67% 92% 90% 92% 68%
Avg Max Increase   2.55% 2.30% 1.93% 2.91% 2.82% 2.79% 2.12% 1.98% 2.01% 1.79% 1.63%
Max Increase   10.35% 4.44% 3.96% 5.66% 11.64% 9.54% 4.41% 4.07% 4.62% 4.39% 3.66%
Avg Days To Max Increase   20 19 22 20 18 16 15 19 18 9 10
Avg Max Decline   -0.60% -1.33% -0.50% -0.48% -0.49% -0.56% -0.49% -1.09% -0.79% -0.69% -0.27%
Max Decline   -2.05% -6.78% -1.87% -2.99% -2.56% -2.54% -2.24% -3.31% -4.63% -2.04% -1.31%
Avg Days to Max Decline   9 13 10 9 5 9 5 14 9 7 2
2012 Contract Condition   Yes   Yes Yes     Yes   Yes Yes Yes
Action   No   Yes No     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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   33 35 35 36 36 36 36 36 36 36 36
Closed Lower   12 19 14 19 16 12 17 23 16 24 17
Penetrated Low   10 9 10 13 10 12 11 17 13 19 10
Scenario Percentage   83% 47% 71% 68% 63% 100% 65% 74% 81% 79% 59%
Avg Max Decline   2.06% 2.74% 2.91% 2.15% 4.63% 1.70% 2.68% 2.38% 2.17% 2.28% 1.57%
Max Decline   5.05% 4.42% 8.04% 5.52% 17.72% 3.91% 7.78% 4.78% 4.53% 5.91% 2.82%
Avg Days To Max Decline   14 20 19 17 18 16 17 19 15 11 11
Avg Max Increase   -0.34% -0.28% -1.26% -0.24% -0.76% -0.64% -0.80% -0.50% -0.53% -0.43% -0.16%
Max Increase   -1.75% -1.16% -4.75% -1.56% -3.43% -1.89% -4.44% -2.60% -1.35% -1.49% -0.52%
Avg Days to Max Increase   3 7 10 6 11 8 7 8 10 3 2
2012 Contract Condition     Yes     Yes Yes   Yes      
Action     Yes     Yes Yes   No      
High 102.20 104.70 104.70 103.10 105.44 104.11 102.23 100.75 100.30 99.23 100.24 101.54
Low 99.70 102.00 101.20 100.42 102.50 99.88 94.93 93.59 94.85 95.73 96.75 99.41
Close/Last 102.20 104.70 102.41 103.10 104.11 101.74 95.50 100.30 97.81 98.21 99.63 101.11

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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.