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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Corn(CBOT) as of Jan 01, 2014
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Higher   22 24 25 22 22 18 17 24 17 20 19
Exceeded High   21 19 21 20 18 13 13 15 14 11 5
Scenario Percentage   95% 79% 84% 91% 82% 72% 76% 63% 82% 55% 26%
Avg Max Increase   7.07% 7.03% 8.80% 14.00% 12.55% 14.11% 13.50% 8.16% 13.38% 6.72% 6.03%
Max Increase   19.16% 15.57% 37.39% 62.47% 50.71% 37.37% 29.99% 33.86% 44.00% 17.85% 17.37%
Avg Days To Max Increase   21 13 16 16 12 12 17 14 18 13 7
Avg Max Decline   -1.58% -2.97% -1.89% -3.37% -2.72% -0.97% -2.79% -3.05% -3.58% -1.83% -0.20%
Max Decline   -7.86% -10.22% -10.38% -8.15% -6.10% -6.27% -12.19% -11.79% -10.19% -7.38% -1.33%
Avg Days to Max Decline   13 9 14 12 6 6 6 13 9 3 2
2013 Contract Condition         Yes Yes     Yes      
Action         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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   43 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 21 20 23 23 27 28 21 28 24 26
Penetrated Low   21 16 18 22 20 22 22 15 22 21 16
Scenario Percentage   100% 76% 90% 96% 87% 81% 79% 71% 79% 88% 62%
Avg Max Decline   5.25% 5.08% 6.30% 8.60% 9.71% 11.19% 7.83% 8.24% 8.16% 7.17% 4.04%
Max Decline   17.02% 10.02% 12.32% 18.00% 24.31% 17.55% 20.08% 37.78% 30.97% 27.77% 17.02%
Avg Days To Max Decline   17 16 16 21 23 16 16 16 20 11 7
Avg Max Increase   -1.78% -2.40% -3.36% -3.31% -5.27% -2.57% -2.94% -1.40% -2.46% -1.96% -1.10%
Max Increase   -6.33% -7.38% -7.08% -19.34% -27.57% -17.80% -11.02% -4.37% -5.13% -5.11% -3.20%
Avg Days to Max Increase   11 12 12 10 13 6 10 4 10 5 2
2013 Contract Condition   Yes Yes Yes     Yes Yes   Yes Yes Yes
Action   Yes Yes Yes     Yes Yes   Yes Yes Yes
High 647.00 605.00 596.50 578.50 570.00 573.00 573.50 528.25 508.25 493.75 449.75 438.00
Low 594.25 570.00 547.00 535.75 517.00 512.00 510.00 471.25 445.75 440.75 427.00 410.75
Close/Last 599.75 591.00 557.00 538.50 556.75 567.25 511.00 479.00 482.00 441.50 428.25 415.25

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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.