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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March NY Harbor ULSD(NYM) as of Dec 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   20 23 24 30 31 31 31 31 31 31 31
Closed Higher   16 16 12 16 19 17 19 17 13 17 10
Exceeded High   16 13 10 16 16 16 15 13 10 15 6
Scenario Percentage   100% 81% 83% 100% 84% 94% 79% 76% 77% 88% 60%
Avg Max Increase   11.02% 8.14% 9.90% 9.88% 11.55% 9.58% 8.66% 11.21% 16.06% 11.40% 12.14%
Max Increase   42.43% 29.78% 25.61% 24.85% 62.05% 33.12% 23.00% 25.47% 34.25% 41.13% 26.53%
Avg Days To Max Increase   19 18 20 17 17 17 14 19 14 16 14
Avg Max Decline   -2.38% -2.10% -1.49% -3.36% -1.27% -2.08% -2.20% -2.57% -2.42% -3.40% -2.15%
Max Decline   -8.64% -7.69% -5.71% -17.69% -8.00% -10.58% -10.07% -8.35% -8.24% -13.01% -9.43%
Avg Days to Max Decline   12 7 8 13 10 9 6 14 5 10 4
2010 Contract Condition   Yes   Yes Yes Yes     Yes Yes Yes  
Action   Yes   Yes Yes Yes     No 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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   20 23 24 30 31 31 31 31 31 31 31
Closed Lower   4 7 12 14 11 14 12 14 18 14 21
Penetrated Low   2 4 8 11 6 9 8 13 18 12 12
Scenario Percentage   50% 57% 67% 79% 55% 64% 67% 93% 100% 86% 57%
Avg Max Decline   2.47% 4.56% 8.46% 4.97% 8.50% 10.87% 12.56% 15.04% 11.83% 15.76% 9.73%
Max Decline   2.98% 5.86% 17.48% 12.04% 23.72% 39.41% 42.24% 42.17% 29.99% 37.84% 20.51%
Avg Days To Max Decline   12 18 14 18 16 18 16 18 20 16 15
Avg Max Increase   -2.00% -3.36% -1.47% -1.70% -3.63% -2.87% -1.86% -2.65% -3.97% -3.63% -2.60%
Max Increase   -2.05% -5.79% -8.44% -6.90% -12.77% -14.75% -6.12% -7.75% -12.74% -14.44% -11.57%
Avg Days to Max Increase   15 12 3 10 13 17 10 9 15 12 4
2010 Contract Condition     Yes       Yes Yes       Yes
Action     No       Yes No       Yes
High 163.97 175.93 172.21 192.02 209.67 202.60 211.80 198.38 221.83 217.92 214.90 223.20
Low 138.00 139.76 155.56 162.93 194.33 171.34 192.50 180.56 184.35 197.78 193.00 190.05
Close/Last 151.53 162.34 160.65 191.82 200.61 201.01 194.35 192.64 207.81 210.34 212.19 191.30

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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.