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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Corn(CBOT) as of Dec 06, 2024
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   26 17 25 24 24 26 18 20 15 15 20
Exceeded High   15 10 19 22 20 24 15 17 10 8 11
Scenario Percentage   58% 59% 76% 92% 83% 92% 83% 85% 67% 53% 55%
Avg Max Increase   7.04% 9.62% 8.66% 7.87% 8.30% 8.55% 8.74% 10.02% 13.74% 10.75% 4.28%
Max Increase   14.84% 26.38% 20.32% 20.88% 25.94% 32.26% 25.29% 56.06% 34.25% 18.52% 10.02%
Avg Days To Max Increase   23 15 18 20 14 14 15 14 12 10 7
Avg Max Decline   -1.97% -2.77% -1.53% -1.28% -2.94% -2.33% -3.73% -3.04% -0.58% -1.15% -1.24%
Max Decline   -10.94% -7.80% -6.73% -3.26% -10.61% -10.55% -10.89% -5.50% -5.47% -3.01% -2.78%
Avg Days to Max Decline   8 9 6 9 9 12 13 10 4 3 2
2024 Contract Condition   Yes         Yes          
Action   No         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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   19 28 19 21 21 19 27 25 30 30 25
Penetrated Low   16 19 16 21 16 19 25 24 27 24 10
Scenario Percentage   84% 68% 84% 100% 76% 100% 93% 96% 90% 80% 40%
Avg Max Decline   5.58% 5.68% 4.86% 5.94% 5.74% 7.00% 8.60% 11.55% 12.51% 8.24% 4.87%
Max Decline   25.43% 15.90% 14.00% 11.78% 15.44% 15.76% 18.83% 27.77% 19.17% 17.40% 9.04%
Avg Days To Max Decline   16 13 18 18 15 16 21 21 16 11 7
Avg Max Increase   -1.61% -1.69% -1.37% -1.89% -2.63% -2.33% -3.90% -5.66% -3.48% -2.41% -0.53%
Max Increase   -6.50% -6.05% -3.85% -6.44% -9.03% -5.43% -19.29% -27.18% -18.45% -8.17% -2.10%
Avg Days to Max Increase   7 9 6 12 12 7 12 11 6 6 2
2024 Contract Condition     Yes Yes Yes Yes   Yes Yes Yes Yes Yes
Action     Yes Yes Yes No   Yes Yes Yes Yes Not Yet
High 512.75 526.25 514.75 512.50 496.75 471.50 468.25 464.00 484.50 465.25 413.75 393.00
Low 495.75 502.50 496.00 493.75 462.50 432.00 442.75 444.50 452.00 399.50 381.00 360.50
Close/Last 503.25 508.75 506.50 497.00 471.50 450.25 464.50 455.75 454.00 407.50 382.75 378.00

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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.