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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Corn(CBOT) 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 19 25 22 25 26 17 22 16 17 23
Exceeded High   15 11 19 20 20 24 15 16 11 11 11
Scenario Percentage   65% 58% 76% 91% 80% 92% 88% 73% 69% 65% 48%
Avg Max Increase   6.83% 9.33% 8.60% 7.33% 6.19% 8.63% 12.40% 13.44% 16.98% 11.83% 4.57%
Max Increase   14.84% 26.38% 29.46% 16.18% 17.33% 41.01% 42.10% 56.06% 34.25% 20.75% 10.02%
Avg Days To Max Increase   20 15 17 22 14 14 15 15 16 11 7
Avg Max Decline   -1.68% -2.48% -1.53% -1.34% -2.83% -2.20% -2.66% -2.55% -0.73% -1.55% -0.78%
Max Decline   -10.94% -7.80% -6.73% -3.26% -10.61% -10.55% -10.89% -5.50% -5.72% -6.60% -2.19%
Avg Days to Max Decline   8 9 6 11 9 12 12 8 5 3 2
2012 Contract Condition   Yes   Yes   Yes       Yes Yes  
Action   Yes   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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   42 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 26 19 23 20 18 28 23 29 28 22
Penetrated Low   14 16 14 23 15 17 25 20 23 21 13
Scenario Percentage   74% 62% 74% 100% 75% 94% 89% 87% 79% 75% 59%
Avg Max Decline   5.71% 6.63% 5.33% 5.19% 4.25% 6.78% 9.03% 10.60% 12.40% 7.37% 4.68%
Max Decline   25.43% 22.45% 20.47% 17.92% 9.56% 12.01% 18.83% 27.77% 19.93% 17.40% 10.31%
Avg Days To Max Decline   15 13 17 16 13 16 22 22 15 10 7
Avg Max Increase   -1.63% -1.21% -1.49% -1.68% -2.31% -2.55% -3.26% -4.89% -2.68% -1.89% -0.98%
Max Increase   -6.50% -4.22% -3.85% -6.44% -9.03% -5.91% -19.29% -27.18% -18.45% -8.17% -3.60%
Avg Days to Max Increase   8 6 7 11 8 9 12 11 5 4 3
2012 Contract Condition     Yes   Yes   Yes Yes Yes     Yes
Action     No   Yes   Yes Yes No     Yes
High 716.75 638.00 639.75 613.25 624.25 605.25 609.25 575.75 558.50 649.25 828.75 843.75
Low 580.00 572.00 557.50 558.75 568.75 579.75 543.50 535.00 504.25 509.50 640.75 776.75
Close/Last 586.50 626.00 574.75 613.25 593.50 600.75 563.25 560.75 525.50 628.50 806.50 802.75

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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.