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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Orange Juice(ICE) as of Jun 08, 2020
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   44 44 45 45 45 45 45 45 45 45 45
Closed Higher   14 22 22 30 19 24 24 23 21 27 12
Exceeded High   10 15 19 19 16 18 18 17 16 17 8
Scenario Percentage   71% 68% 86% 63% 84% 75% 75% 74% 76% 63% 67%
Avg Max Increase   9.07% 10.69% 10.05% 7.99% 8.58% 7.98% 13.24% 16.97% 11.03% 12.56% 10.15%
Max Increase   22.08% 27.54% 31.86% 25.04% 20.31% 20.24% 45.52% 46.44% 21.32% 53.49% 19.53%
Avg Days To Max Increase   16 17 16 16 14 15 19 12 16 10 7
Avg Max Decline   -1.07% -3.01% -0.64% -2.81% -1.77% -1.57% -3.72% -1.78% -1.95% -2.68% -0.10%
Max Decline   -5.13% -13.16% -2.13% -20.34% -7.48% -9.37% -18.57% -8.22% -8.91% -8.71% -3.48%
Avg Days to Max Decline   6 10 6 6 6 8 13 4 7 11 2
2020 Contract Condition     Yes   Yes              
Action     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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   44 44 45 45 45 45 45 45 45 45 45
Closed Lower   30 22 23 14 26 20 21 22 24 18 33
Penetrated Low   25 15 17 9 20 13 18 18 18 13 22
Scenario Percentage   83% 68% 74% 64% 77% 65% 86% 82% 75% 72% 67%
Avg Max Decline   7.48% 9.55% 9.10% 10.57% 7.64% 9.39% 10.07% 9.88% 11.34% 10.85% 4.59%
Max Decline   17.16% 30.44% 24.56% 20.03% 14.05% 21.87% 25.31% 20.16% 24.35% 23.73% 9.54%
Avg Days To Max Decline   19 18 19 23 19 16 17 19 24 15 7
Avg Max Increase   -1.99% -1.58% -3.00% -3.52% -2.92% -2.95% -2.94% -1.77% -3.96% -4.73% -1.23%
Max Increase   -6.82% -9.06% -9.65% -19.76% -7.80% -6.81% -8.00% -4.94% -13.14% -18.24% -7.33%
Avg Days to Max Increase   8 7 11 12 12 10 10 4 16 9 4
2020 Contract Condition   Yes   Yes   Yes Yes Yes Yes Yes Yes Yes
Action   Yes   Yes   Yes Yes Yes Yes Yes Yes Not Yet
High 132.75 130.00 134.00 129.40 116.90 119.45 111.70 111.90 107.40 107.05 101.65 101.50
Low 124.60 124.20 123.15 106.50 101.55 106.25 105.35 96.90 99.05 96.10 97.00 93.25
Close/Last 128.35 125.75 125.85 107.20 116.90 110.55 109.35 105.95 102.70 98.85 98.60 97.20

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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.