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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for February NY Harbor ULSD(NYM) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   27 30 32 34 37 37 37 37 37 37 37
Closed Higher   16 22 20 15 18 23 20 21 16 16 18
Exceeded High   15 21 16 13 17 20 18 16 12 12 16
Scenario Percentage   94% 95% 80% 87% 94% 87% 90% 76% 75% 75% 89%
Avg Max Increase   9.61% 9.84% 7.39% 9.36% 10.17% 11.49% 9.27% 8.60% 12.15% 18.09% 10.31%
Max Increase   23.87% 42.31% 29.01% 25.18% 25.14% 65.58% 34.76% 21.36% 34.13% 55.32% 44.01%
Avg Days To Max Increase   16 18 16 16 18 16 17 15 19 16 15
Avg Max Decline   -1.91% -1.85% -2.03% -1.25% -3.19% -1.42% -2.46% -2.51% -2.45% -3.00% -1.84%
Max Decline   -12.40% -8.55% -8.89% -5.26% -16.83% -8.09% -12.52% -12.46% -8.80% -7.99% -6.52%
Avg Days to Max Decline   11 8 8 8 12 8 7 8 8 8 6
2016 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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   27 30 32 34 37 37 37 37 37 37 37
Closed Lower   11 8 12 19 19 14 17 16 21 21 19
Penetrated Low   7 5 7 12 15 8 11 13 18 21 13
Scenario Percentage   64% 63% 58% 63% 79% 57% 65% 81% 86% 100% 68%
Avg Max Decline   5.38% 4.81% 7.80% 9.03% 7.69% 9.37% 11.94% 11.44% 15.50% 13.81% 13.70%
Max Decline   17.08% 13.65% 20.13% 17.77% 26.48% 24.16% 39.86% 43.17% 43.10% 38.40% 29.04%
Avg Days To Max Decline   11 11 18 17 16 15 17 16 17 18 18
Avg Max Increase   -1.84% -2.17% -2.68% -1.67% -1.99% -3.29% -2.43% -2.98% -2.36% -3.90% -1.76%
Max Increase   -4.04% -5.32% -6.60% -7.53% -7.54% -18.08% -15.56% -16.37% -7.70% -15.03% -17.42%
Avg Days to Max Increase   10 7 14 4 8 12 16 8 7 13 6
2016 Contract Condition     Yes   Yes Yes Yes   Yes Yes Yes Yes
Action     No   Yes Yes Yes   Yes Yes Yes Yes
High 192.25 204.76 202.76 206.33 212.80 203.64 195.74 176.49 172.85 170.29 161.70 141.78
Low 172.71 183.50 179.12 183.40 193.52 191.40 166.53 145.28 155.84 148.05 137.49 110.05
Close/Last 184.06 204.47 185.32 206.30 202.52 197.60 167.30 176.26 158.94 156.31 137.77 112.39

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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.