Moore Research Center, Inc.

  • Increase font size
  • Default font size
  • Decrease font size
Home MRCI Online
Print
New Windows

MRCI's Scenario Study

MRCI Logo
MRCI's ScenarioSM Study
ScenarioSM Study for July 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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   22 25 27 27 29 30 31 31 31 31 31
Closed Higher   17 14 15 12 13 12 12 14 23 23 17
Exceeded High   14 13 11 9 10 11 9 13 22 19 10
Scenario Percentage   82% 93% 73% 75% 77% 92% 75% 93% 96% 83% 59%
Avg Max Increase   9.99% 7.05% 8.54% 10.25% 9.96% 9.22% 10.75% 12.65% 11.61% 10.00% 9.05%
Max Increase   51.79% 26.41% 26.16% 20.60% 19.67% 21.36% 27.58% 25.97% 41.58% 29.68% 17.24%
Avg Days To Max Increase   15 14 16 21 12 16 12 15 16 16 17
Avg Max Decline   -0.72% -0.81% -1.74% -2.07% -2.11% -1.94% -2.12% -1.54% -2.30% -2.95% -1.57%
Max Decline   -7.21% -6.28% -8.40% -4.74% -8.27% -7.42% -6.29% -5.57% -6.96% -16.05% -7.53%
Avg Days to Max Decline   10 9 4 13 6 13 6 7 8 8 7
2010 Contract Condition   Yes     Yes Yes     Yes Yes Yes  
Action   Yes     No Yes     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   22 25 27 27 29 30 31 31 31 31 31
Closed Lower   5 11 12 15 16 17 19 17 8 8 14
Penetrated Low   4 7 9 14 13 15 13 12 7 6 11
Scenario Percentage   80% 64% 75% 93% 81% 88% 68% 71% 88% 75% 79%
Avg Max Decline   9.94% 11.47% 11.81% 13.02% 13.81% 13.52% 12.08% 6.47% 7.85% 6.26% 5.88%
Max Decline   22.93% 37.63% 40.47% 38.60% 29.86% 38.04% 35.18% 20.99% 12.60% 9.83% 12.36%
Avg Days To Max Decline   19 22 16 18 19 19 15 13 14 13 13
Avg Max Increase   -3.52% -2.59% -1.20% -2.22% -1.40% -3.58% -2.30% -2.41% -2.92% -4.17% -1.75%
Max Increase   -8.51% -11.01% -5.67% -5.82% -7.39% -11.13% -6.56% -11.47% -5.99% -8.06% -8.98%
Avg Days to Max Increase   19 20 7 7 10 8 7 10 7 18 2
2010 Contract Condition     Yes Yes     Yes Yes       Yes
Action     Yes No     Yes Yes       Not Yet
High 211.65 206.01 214.83 203.80 225.00 221.40 219.43 223.72 213.08 221.01 234.70 238.18
Low 198.70 177.62 198.45 186.48 193.58 207.34 198.00 195.00 187.50 205.01 219.00 184.83
Close/Last 203.76 206.01 198.45 197.57 211.74 215.79 215.29 195.60 208.31 220.76 233.93 200.45

Banner

Login

Main Menu

MRCI Online

Free Links

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.