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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Lean Hogs(CME) as of Jan 01, 2018
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   15 16 16 16 16 16 16 16 16 16 16
Closed Higher   9 9 10 9 10 13 5 11 8 8 9
Exceeded High   7 8 9 8 7 10 5 10 7 6 9
Scenario Percentage   78% 89% 90% 89% 70% 77% 100% 91% 88% 75% 100%
Avg Max Increase   7.09% 4.24% 4.51% 7.06% 5.74% 4.03% 5.62% 6.33% 8.61% 6.92% 3.81%
Max Increase   17.80% 7.45% 11.14% 16.19% 15.30% 14.81% 10.89% 24.18% 20.78% 18.62% 9.37%
Avg Days To Max Increase   16 21 13 25 21 21 18 16 16 7 6
Avg Max Decline   -0.29% -2.43% -1.74% -2.19% -2.15% -4.35% -2.60% -2.17% -1.73% -3.03% -0.75%
Max Decline   -1.51% -3.35% -5.91% -5.45% -3.84% -9.21% -5.91% -5.63% -3.95% -4.58% -2.24%
Avg Days to Max Decline   2 13 11 7 8 17 14 13 7 6 2
2017 Contract Condition   Yes   Yes   Yes   Yes Yes      
Action   No   No   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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   15 16 16 16 16 16 16 16 16 16 16
Closed Lower   6 7 6 7 6 3 10 5 8 8 7
Penetrated Low   3 7 3 3 3 1 7 5 8 6 6
Scenario Percentage   50% 100% 50% 43% 50% 33% 70% 100% 100% 75% 86%
Avg Max Decline   7.31% 6.07% 6.79% 5.22% 6.64% 8.32% 9.05% 8.89% 11.94% 10.92% 4.59%
Max Decline   17.13% 12.24% 13.95% 10.95% 8.68% 8.32% 16.91% 18.96% 19.48% 27.76% 6.09%
Avg Days To Max Decline   14 17 14 18 20 26 12 19 18 8 6
Avg Max Increase   -3.20% -1.72% -1.39% -2.79% -3.36% -0.46% -1.05% -1.43% -1.53% -1.16% -0.45%
Max Increase   -6.90% -4.75% -3.18% -4.93% -6.36% -0.46% -3.47% -4.42% -4.13% -2.80% -1.84%
Avg Days to Max Increase   21 10 6 3 22 1 6 19 12 4 1
2017 Contract Condition     Yes   Yes   Yes     Yes Yes Yes
Action     Yes   No   No     Yes Yes Not Yet
High 75.100 76.550 75.930 73.150 72.250 70.000 70.500 73.970 75.000 76.500 75.650 70.500
Low 73.130 74.950 69.930 69.800 63.000 64.000 67.550 67.630 71.500 72.150 69.220 62.500
Close/Last 74.480 75.630 69.930 71.750 63.000 69.930 68.950 72.900 73.970 73.950 69.850 66.970

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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.