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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 Oct 20, 2019
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   30 33 35 37 40 40 40 40 40 40 40
Closed Higher   17 24 22 17 20 24 23 24 17 18 20
Exceeded High   15 23 18 14 18 21 21 19 13 14 18
Scenario Percentage   88% 96% 82% 82% 90% 88% 91% 79% 76% 78% 90%
Avg Max Increase   9.61% 10.37% 7.54% 9.02% 9.68% 11.41% 9.53% 8.30% 12.06% 17.62% 9.73%
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 19 17 16 15 20 18 15
Avg Max Decline   -1.91% -2.16% -2.24% -1.28% -3.41% -1.64% -2.50% -2.38% -2.42% -2.75% -1.90%
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 13 8 7 7 8 8 6
2019 Contract Condition     Yes Yes Yes Yes   Yes Yes      
Action     Yes Yes No Yes   Yes Yes      
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   30 33 35 37 40 40 40 40 40 40 40
Closed Lower   13 9 13 20 20 16 17 16 23 22 20
Penetrated Low   7 6 8 13 15 9 11 13 20 22 13
Scenario Percentage   54% 67% 62% 65% 75% 56% 65% 81% 87% 100% 65%
Avg Max Decline   5.38% 5.90% 8.10% 9.09% 7.69% 8.78% 11.94% 11.44% 15.73% 13.74% 13.81%
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 10 18 17 16 14 17 16 17 20 19
Avg Max Increase   -1.84% -2.72% -2.99% -1.58% -1.99% -2.96% -2.43% -2.98% -2.29% -4.23% -1.82%
Max Increase   -4.04% -5.50% -6.60% -7.53% -7.54% -18.08% -15.56% -16.37% -7.70% -15.03% -17.42%
Avg Days to Max Increase   10 8 15 4 8 11 16 8 7 13 8
2019 Contract Condition   Yes         Yes     Yes Yes Yes
Action   No         No     Yes Yes Not Yet
High 203.42 201.87 203.86 214.95 229.31 223.96 225.58 226.37 236.83 245.43 224.38 194.43
Low 194.00 181.77 185.47 194.62 208.54 209.27 207.43 208.81 219.49 222.85 177.78 163.80
Close/Last 200.32 189.94 201.28 213.01 221.26 223.31 215.54 224.47 235.27 224.28 182.24 167.94

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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.