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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December EuroFX(CME) as of Oct 29, 2021
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   22 22 22 22 22 22 22 22 22 22 22
Closed Higher   8 10 10 11 8 13 11 11 11 10 10
Exceeded High   7 8 9 8 6 9 10 8 8 6 7
Scenario Percentage   88% 80% 90% 73% 75% 69% 91% 73% 73% 60% 70%
Avg Max Increase   2.66% 3.87% 5.13% 3.89% 4.71% 3.96% 3.14% 2.98% 3.87% 3.77% 1.97%
Max Increase   6.48% 7.39% 9.72% 10.97% 9.55% 8.58% 6.59% 5.58% 7.26% 5.35% 3.26%
Avg Days To Max Increase   18 21 19 17 22 19 15 13 19 12 7
Avg Max Decline   -1.39% -0.94% -1.18% -0.77% -1.08% -1.23% -1.30% -0.82% -1.23% -0.58% -0.34%
Max Decline   -2.92% -2.54% -2.95% -2.75% -2.69% -3.03% -3.54% -2.82% -2.19% -1.02% -0.82%
Avg Days to Max Decline   12 6 10 5 9 6 14 3 13 7 1
2021 Contract Condition         Yes Yes   Yes        
Action         Yes No   No        
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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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   22 22 22 22 22 22 22 22 22 22 22
Closed Lower   14 12 12 11 14 9 11 11 11 12 12
Penetrated Low   10 10 10 8 13 6 8 9 11 10 5
Scenario Percentage   71% 83% 83% 73% 93% 67% 73% 82% 100% 83% 42%
Avg Max Decline   4.05% 3.78% 4.49% 4.82% 2.26% 2.99% 5.15% 4.49% 3.79% 2.64% 1.46%
Max Decline   7.26% 7.01% 9.94% 10.42% 3.67% 5.93% 10.80% 15.36% 12.79% 5.38% 3.18%
Avg Days To Max Decline   18 19 22 15 16 13 16 18 13 8 6
Avg Max Increase   -1.50% -0.96% -1.09% -0.52% -1.82% -0.65% -0.97% -1.10% -0.89% -1.00% -1.45%
Max Increase   -3.56% -3.68% -2.59% -2.11% -4.05% -2.31% -1.80% -1.94% -2.92% -3.00% -3.86%
Avg Days to Max Increase   9 9 11 3 14 5 6 8 7 5 2
2021 Contract Condition   Yes Yes Yes     Yes   Yes Yes Yes  
Action   Yes Yes No     Yes   Yes Yes Not Yet  
High 124.02 124.38 123.17 121.83 122.07 123.14 122.99 119.40 119.30 119.32 117.03  
Low 120.42 121.44 120.40 117.72 117.80 120.43 118.86 117.86 116.90 115.78 115.38  
Close/Last 123.20 122.17 121.54 117.90 120.79 122.47 118.87 118.88 118.37 116.00 115.69  

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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.