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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Japanese Yen(CME) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   20 23 25 27 31 32 32 32 32 32 32
Closed Higher   10 10 10 8 16 16 15 12 14 12 16
Exceeded High   9 8 7 7 12 12 11 11 9 8 11
Scenario Percentage   90% 80% 70% 88% 75% 75% 73% 92% 64% 67% 69%
Avg Max Increase   3.85% 4.62% 4.42% 5.73% 7.07% 4.11% 4.56% 5.19% 4.42% 3.99% 2.68%
Max Increase   13.76% 8.66% 13.24% 10.42% 19.60% 10.41% 10.48% 15.22% 10.40% 7.20% 8.13%
Avg Days To Max Increase   20 21 17 18 17 16 14 16 16 13 9
Avg Max Decline   -1.39% -0.84% -0.75% -1.34% -0.59% -0.89% -0.79% -1.07% -1.08% -1.16% -0.39%
Max Decline   -6.14% -3.06% -2.73% -6.03% -3.10% -3.16% -3.91% -4.06% -2.72% -3.38% -2.67%
Avg Days to Max Decline   11 6 13 11 9 5 7 8 9 6 3
2008 Contract Condition     Yes   Yes Yes Yes          
Action     Yes   Yes Yes No          
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   20 23 25 27 31 32 32 32 32 32 32
Closed Lower   10 13 15 19 15 16 17 20 18 20 16
Penetrated Low   9 12 14 17 12 14 14 17 15 15 9
Scenario Percentage   90% 92% 93% 89% 80% 88% 82% 85% 83% 75% 56%
Avg Max Decline   3.98% 4.62% 3.64% 3.76% 5.30% 3.54% 4.72% 4.50% 4.44% 2.97% 2.05%
Max Decline   8.63% 8.84% 8.78% 9.65% 10.51% 8.89% 13.18% 8.68% 15.17% 15.70% 6.64%
Avg Days To Max Decline   23 15 15 21 15 17 17 19 16 10 10
Avg Max Increase   -1.35% -0.62% -0.26% -1.47% -0.45% -0.98% -0.48% -0.97% -0.91% -1.13% -0.61%
Max Increase   -2.52% -2.95% -1.75% -4.05% -2.73% -3.00% -1.94% -2.12% -2.64% -3.88% -2.28%
Avg Days to Max Increase   12 10 5 10 4 12 4 7 6 5 5
2008 Contract Condition   Yes   Yes       Yes Yes Yes Yes Yes
Action   No   No       Yes Yes Yes Yes Not Yet
High 91.87 90.57 95.74 93.49 96.39 97.32 105.08 101.17 98.08 96.78 96.72 93.44
Low 89.37 88.01 89.20 89.67 92.63 93.38 97.11 96.11 95.03 92.51 92.48 90.13
Close/Last 90.37 89.54 92.50 91.64 95.16 97.14 101.07 96.94 95.38 94.71 92.92 92.02

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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.