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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Lean Hogs(CME) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   28 30 32 25 29 24 23 30 22 22 25
Exceeded High   21 26 25 24 24 19 21 23 18 16 19
Scenario Percentage   75% 87% 78% 96% 83% 79% 91% 77% 82% 73% 76%
Avg Max Increase   6.11% 6.44% 5.25% 6.63% 7.96% 10.23% 8.80% 9.10% 8.22% 7.85% 5.44%
Max Increase   15.73% 17.68% 16.75% 16.34% 27.30% 23.28% 17.33% 29.30% 33.47% 23.24% 13.42%
Avg Days To Max Increase   20 18 18 17 20 18 20 19 15 12 9
Avg Max Decline   -1.40% -1.64% -2.19% -1.18% -2.22% -1.83% -1.92% -2.62% -2.91% -3.00% -0.54%
Max Decline   -4.06% -4.26% -8.50% -5.81% -7.70% -4.70% -9.25% -7.54% -11.11% -6.47% -2.58%
Avg Days to Max Decline   11 9 11 8 12 9 7 10 10 8 2
2018 Contract Condition   Yes Yes Yes Yes         Yes    
Action   Yes Yes 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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 15 13 20 15 21 22 15 23 23 20
Penetrated Low   13 10 8 15 11 17 16 13 21 17 12
Scenario Percentage   76% 67% 62% 75% 73% 81% 73% 87% 91% 74% 60%
Avg Max Decline   3.55% 5.05% 5.30% 5.57% 7.09% 10.47% 9.35% 9.94% 9.04% 8.57% 5.28%
Max Decline   11.94% 9.44% 12.76% 13.51% 19.33% 24.72% 34.26% 35.01% 23.67% 29.00% 14.85%
Avg Days To Max Decline   15 15 11 12 17 16 16 17 15 10 7
Avg Max Increase   -2.78% -3.65% -0.84% -2.27% -1.38% -1.53% -2.01% -2.79% -3.40% -2.41% -0.49%
Max Increase   -6.84% -12.46% -2.55% -5.93% -4.28% -7.89% -5.83% -5.18% -11.85% -11.53% -4.54%
Avg Days to Max Increase   11 12 2 13 11 4 7 9 10 7 2
2018 Contract Condition           Yes Yes Yes Yes   Yes Yes
Action           Yes Yes Yes No   Yes Yes
High 78.300 78.450 81.050 82.950 83.980 85.000 84.180 82.550 81.000 78.900 80.000 77.180
Low 74.480 75.830 78.380 79.300 80.780 81.880 79.630 75.000 72.450 74.130 73.280 60.880
Close/Last 76.000 78.150 80.950 82.300 83.330 82.530 82.480 77.280 75.880 77.030 76.450 61.130

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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.