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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for November NY Harbor ULSD(NYM) as of Dec 07, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   32 36 38 39 42 43 44 44 44 44 44
Closed Higher   17 19 19 22 28 28 22 23 26 24 26
Exceeded High   13 18 15 20 27 22 17 21 23 22 20
Scenario Percentage   76% 95% 79% 91% 96% 79% 77% 91% 88% 92% 77%
Avg Max Increase   9.37% 9.07% 13.04% 10.85% 12.87% 11.27% 9.60% 9.64% 12.96% 11.19% 5.53%
Max Increase   17.86% 23.81% 32.29% 26.47% 51.12% 53.09% 23.81% 24.96% 76.22% 39.38% 15.65%
Avg Days To Max Increase   17 15 12 16 19 16 14 16 18 14 14
Avg Max Decline   -1.08% -1.31% -1.09% -1.99% -2.31% -2.13% -1.28% -3.34% -3.51% -3.58% -2.13%
Max Decline   -7.40% -6.74% -4.81% -12.84% -8.88% -11.99% -5.77% -16.48% -13.59% -16.08% -13.24%
Avg Days to Max Decline   7 7 4 10 7 8 7 12 10 9 3
2022 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes  
Action     Yes Yes Yes Yes Yes Yes No   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 Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep
Tested Years   32 36 38 39 42 43 44 44 44 44 44
Closed Lower   15 17 19 17 14 15 22 21 18 20 18
Penetrated Low   11 12 12 10 11 9 16 16 11 12 12
Scenario Percentage   73% 71% 63% 59% 79% 60% 73% 76% 61% 60% 67%
Avg Max Decline   12.38% 13.28% 12.41% 8.49% 8.31% 7.55% 8.15% 9.81% 11.11% 13.10% 8.68%
Max Decline   32.82% 32.60% 35.24% 38.46% 18.99% 20.84% 19.14% 27.27% 23.89% 41.36% 34.78%
Avg Days To Max Decline   19 18 16 11 16 15 17 16 18 16 18
Avg Max Increase   -1.90% -3.48% -1.82% -1.78% -4.06% -3.89% -1.38% -2.12% -4.49% -2.07% -2.42%
Max Increase   -5.71% -10.05% -6.01% -5.51% -13.16% -7.55% -6.77% -7.93% -19.87% -6.87% -6.54%
Avg Days to Max Increase   6 7 6 8 9 15 4 9 12 11 6
2022 Contract Condition   Yes               Yes   Yes
Action   No               Yes   Not Yet
High 241.00 233.32 230.53 252.55 277.70 330.81 335.28 376.77 416.71 378.35 396.42 369.96
Low 225.30 197.16 199.50 223.90 247.30 266.70 291.50 319.79 356.31 319.57 308.94 302.87
Close/Last 229.85 200.63 224.30 250.06 265.10 291.62 327.57 362.27 362.57 345.09 360.90 322.16

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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.