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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May NY Harbor ULSD(NYM) as of Jun 05, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   36 40 41 44 44 45 45 45 45 45 45
Closed Higher   18 24 28 26 24 20 22 21 20 22 28
Exceeded High   15 21 23 21 14 14 18 19 17 20 24
Scenario Percentage   83% 88% 82% 81% 58% 70% 82% 90% 85% 91% 86%
Avg Max Increase   9.43% 8.98% 9.10% 7.74% 9.22% 9.93% 10.99% 11.48% 15.67% 16.18% 12.29%
Max Increase   25.87% 23.36% 56.36% 29.50% 19.39% 21.64% 25.04% 30.08% 66.80% 105.84% 74.34%
Avg Days To Max Increase   18 17 17 16 16 21 16 18 13 14 18
Avg Max Decline   -1.05% -2.79% -2.11% -1.60% -1.47% -2.18% -1.75% -2.27% -2.06% -2.77% -2.38%
Max Decline   -4.80% -13.85% -13.07% -6.87% -7.85% -5.83% -8.29% -7.95% -7.14% -14.74% -10.01%
Avg Days to Max Decline   8 9 10 8 5 9 5 10 5 7 2
2024 Contract Condition     Yes Yes Yes Yes       Yes   Yes
Action     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar
Tested Years   36 40 41 44 44 45 45 45 45 45 45
Closed Lower   18 16 13 18 20 25 23 24 25 23 17
Penetrated Low   11 11 9 10 15 22 21 17 17 17 11
Scenario Percentage   61% 69% 69% 56% 75% 88% 91% 71% 68% 74% 65%
Avg Max Decline   7.03% 6.05% 9.06% 12.04% 10.39% 13.69% 13.07% 15.14% 15.10% 10.74% 9.63%
Max Decline   16.98% 25.67% 23.48% 38.52% 41.64% 40.53% 37.04% 39.03% 42.35% 60.61% 42.09%
Avg Days To Max Decline   16 14 18 15 14 17 18 19 16 14 13
Avg Max Increase   -0.75% -1.76% -2.74% -2.17% -2.10% -2.20% -2.64% -3.82% -2.93% -2.55% -3.80%
Max Increase   -2.79% -6.62% -9.54% -12.53% -7.04% -6.54% -9.43% -12.34% -10.85% -12.26% -13.67%
Avg Days to Max Increase   3 7 13 12 8 6 9 11 7 9 2
2024 Contract Condition   Yes         Yes Yes Yes   Yes  
Action   No         Yes Yes No   Yes  
High 255.60 237.30 237.27 267.73 277.34 291.52 283.95 276.19 260.86 270.37 277.88 276.66
Low 232.70 222.00 222.59 230.16 265.48 272.13 255.90 251.73 236.36 239.83 252.45 254.83
Close/Last 237.27 223.01 235.05 267.14 271.47 280.14 267.04 259.65 242.13 264.78 259.54 262.27

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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.