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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Corn(CBOT) as of Aug 18, 2023
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 22 17 14 21 18 24 16 21 26 24
Exceeded High   20 18 13 9 12 17 14 10 18 20 19
Scenario Percentage   87% 82% 76% 64% 57% 94% 58% 63% 86% 77% 79%
Avg Max Increase   11.62% 11.19% 10.13% 11.81% 9.20% 11.07% 9.70% 10.26% 8.50% 7.28% 3.41%
Max Increase   56.84% 45.67% 31.26% 29.19% 32.23% 42.96% 20.46% 29.99% 21.15% 27.80% 14.70%
Avg Days To Max Increase   16 13 10 16 16 17 25 15 17 7 6
Avg Max Decline   -3.57% -2.53% -0.54% -2.04% -3.44% -2.75% -2.68% -3.54% -2.31% -1.36% -1.20%
Max Decline   -7.89% -5.76% -5.30% -6.62% -11.20% -9.57% -12.56% -9.73% -5.89% -3.09% -5.01%
Avg Days to Max Decline   11 6 3 5 14 8 10 8 8 4 2
2023 Contract Condition   Yes       Yes Yes Yes   Yes Yes  
Action   Yes       Yes Yes No   Yes Not Yet  
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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 23 28 30 24 27 21 28 24 19 21
Penetrated Low   21 21 26 25 17 22 19 23 19 13 8
Scenario Percentage   95% 91% 93% 83% 71% 81% 90% 82% 79% 68% 38%
Avg Max Decline   6.76% 9.75% 10.21% 7.96% 7.08% 7.10% 7.81% 5.87% 4.80% 5.36% 2.41%
Max Decline   15.47% 22.39% 16.27% 19.56% 37.09% 30.45% 27.13% 16.47% 16.16% 11.02% 4.47%
Avg Days To Max Decline   21 21 17 19 16 21 15 12 14 13 7
Avg Max Increase   -3.59% -3.81% -2.43% -3.11% -1.19% -2.05% -1.88% -1.80% -1.66% -1.83% -1.30%
Max Increase   -17.82% -16.67% -14.97% -10.06% -4.10% -4.91% -5.47% -7.27% -5.15% -6.87% -2.98%
Avg Days to Max Increase   13 10 7 10 5 11 9 10 8 7 3
2023 Contract Condition     Yes Yes         Yes     Yes
Action     Yes Yes         Yes     Yes
High 693.75 760.25 768.50 753.00 662.75 688.75 702.75 711.75 703.00 685.00 688.75 688.25
Low 603.75 678.00 707.50 625.50 568.75 595.00 660.25 679.00 653.50 635.00 648.25 629.25
Close/Last 684.50 755.00 716.50 626.25 626.25 676.50 684.00 696.75 667.00 678.50 679.75 629.50

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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.