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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 21, 2022
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   25 17 24 25 25 26 18 22 16 14 20
Exceeded High   15 10 19 22 20 24 15 18 11 8 10
Scenario Percentage   60% 59% 79% 88% 80% 92% 83% 82% 69% 57% 50%
Avg Max Increase   6.97% 9.62% 7.93% 7.10% 7.32% 8.48% 9.91% 10.53% 13.21% 10.95% 4.47%
Max Increase   14.84% 26.38% 20.32% 16.18% 25.94% 32.26% 25.29% 56.06% 34.25% 20.11% 11.13%
Avg Days To Max Increase   21 15 18 20 14 14 15 14 12 10 7
Avg Max Decline   -1.81% -2.77% -1.52% -1.25% -3.07% -2.39% -3.51% -2.90% -0.45% -1.15% -1.09%
Max Decline   -10.94% -7.80% -6.73% -3.26% -10.61% -10.55% -10.89% -5.50% -5.47% -3.01% -2.19%
Avg Days to Max Decline   8 9 6 9 10 12 13 9 4 3 2
2021 Contract Condition     Yes Yes Yes Yes Yes Yes   Yes    
Action     Yes Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 28 20 20 20 19 27 23 29 31 25
Penetrated Low   17 19 16 20 15 19 24 22 26 26 14
Scenario Percentage   85% 68% 80% 100% 75% 100% 89% 96% 90% 84% 56%
Avg Max Decline   5.72% 5.40% 4.17% 5.43% 5.43% 6.55% 8.60% 11.51% 13.28% 8.26% 5.11%
Max Decline   25.43% 15.90% 14.00% 11.78% 15.44% 11.23% 18.83% 27.77% 19.93% 17.40% 9.09%
Avg Days To Max Decline   16 11 16 18 15 17 21 21 15 11 9
Avg Max Increase   -1.54% -1.60% -1.38% -2.00% -2.76% -2.47% -3.72% -4.98% -2.81% -2.55% -1.04%
Max Increase   -6.50% -6.05% -3.85% -6.44% -9.03% -5.43% -19.29% -27.18% -18.45% -8.17% -3.60%
Avg Days to Max Increase   7 7 6 13 13 7 11 10 6 7 3
2021 Contract Condition   Yes             Yes   Yes Yes
Action   No             Yes   Yes Yes
High 392.25 402.75 419.50 448.25 489.00 498.00 504.25 616.50 656.00 649.25 626.00 589.50
Low 370.25 380.50 383.75 404.50 443.25 463.75 467.50 495.25 525.00 528.00 520.75 524.00
Close/Last 388.25 387.25 411.00 446.50 470.25 489.50 496.00 592.25 573.25 599.25 547.00 534.00

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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.