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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for June Lean Hogs(CME) 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   20 24 28 26 32 22 29 23 23 23 24
Exceeded High   16 22 23 22 26 19 25 21 19 17 13
Scenario Percentage   80% 92% 82% 85% 81% 86% 86% 91% 83% 74% 54%
Avg Max Increase   5.20% 5.53% 5.84% 5.75% 5.50% 7.97% 8.68% 10.10% 9.79% 8.12% 5.56%
Max Increase   12.89% 11.31% 11.39% 12.62% 17.51% 24.60% 27.28% 31.53% 23.07% 17.35% 10.69%
Avg Days To Max Increase   16 13 22 17 18 18 19 16 18 13 11
Avg Max Decline   -2.38% -1.91% -1.97% -2.04% -2.81% -1.42% -2.67% -1.82% -2.24% -1.77% -0.57%
Max Decline   -6.15% -6.57% -7.73% -5.95% -6.96% -4.79% -7.58% -6.47% -8.16% -3.66% -2.21%
Avg Days to Max Decline   9 11 13 11 13 7 12 8 7 4 2
2024 Contract Condition     Yes         Yes Yes Yes Yes  
Action     Yes         Yes Yes Yes Not Yet  
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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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   25 21 17 19 13 22 16 22 21 22 21
Penetrated Low   20 10 14 12 9 15 15 18 17 17 14
Scenario Percentage   80% 48% 82% 63% 69% 68% 94% 82% 81% 77% 67%
Avg Max Decline   5.38% 5.20% 4.80% 4.57% 7.34% 6.85% 9.90% 11.56% 10.81% 7.43% 5.34%
Max Decline   13.02% 15.17% 11.91% 7.80% 15.49% 15.89% 22.80% 25.20% 31.21% 13.88% 18.29%
Avg Days To Max Decline   14 12 17 16 14 14 21 17 13 11 6
Avg Max Increase   -1.56% -2.67% -2.30% -2.16% -2.04% -2.10% -2.33% -1.61% -1.24% -2.56% -0.23%
Max Increase   -5.42% -7.70% -5.59% -4.58% -6.71% -6.79% -9.63% -7.24% -5.12% -7.67% -1.57%
Avg Days to Max Increase   7 12 6 13 9 12 14 6 4 5 1
2024 Contract Condition   Yes   Yes Yes Yes Yes         Yes
Action   Yes   Yes Yes Yes Yes         Yes
High 98.850 96.550 95.880 97.380 95.630 95.430 93.800 98.350 100.930 103.480 109.650 103.530
Low 91.930 93.600 91.600 93.600 89.480 89.350 89.380 87.550 93.880 98.630 100.180 93.250
Close/Last 96.080 95.030 95.530 94.130 93.580 92.500 89.930 97.900 100.200 101.450 102.480 94.350

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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.