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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Coffee "C"(ICE) as of Dec 27, 2023
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   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   23 22 23 25 19 18 22 19 12 20 24
Exceeded High   17 20 17 17 15 12 15 9 9 15 14
Scenario Percentage   74% 91% 74% 68% 79% 67% 68% 47% 75% 75% 58%
Avg Max Increase   15.49% 12.10% 12.76% 16.51% 11.28% 19.71% 19.35% 23.25% 14.88% 9.55% 6.92%
Max Increase   54.56% 58.99% 42.09% 62.80% 24.35% 72.37% 122.35% 121.24% 43.01% 23.92% 21.36%
Avg Days To Max Increase   18 16 17 13 20 17 18 11 16 13 11
Avg Max Decline   -1.51% -1.31% -2.10% -1.57% -4.16% -3.49% -2.80% -3.61% -5.56% -5.66% -1.28%
Max Decline   -7.46% -5.23% -8.89% -4.99% -11.67% -11.11% -11.79% -10.13% -16.43% -13.46% -3.35%
Avg Days to Max Decline   9 5 9 6 14 6 5 9 12 9 5
2023 Contract Condition         Yes Yes   Yes     Yes  
Action         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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   22 23 22 20 26 27 23 26 33 25 21
Penetrated Low   18 21 18 18 22 22 21 22 29 17 11
Scenario Percentage   82% 91% 82% 90% 85% 81% 91% 85% 88% 68% 52%
Avg Max Decline   9.19% 8.68% 8.10% 8.50% 8.80% 8.39% 12.15% 12.44% 11.55% 9.97% 6.43%
Max Decline   22.31% 17.16% 21.60% 20.79% 16.50% 16.67% 33.77% 26.26% 30.78% 18.13% 14.05%
Avg Days To Max Decline   16 14 15 16 18 18 21 20 16 14 13
Avg Max Increase   -2.28% -2.00% -3.93% -2.53% -2.47% -4.39% -4.39% -3.77% -4.64% -4.59% -2.94%
Max Increase   -6.26% -9.42% -14.78% -9.41% -9.42% -13.68% -21.21% -9.64% -39.51% -11.96% -8.01%
Avg Days to Max Increase   9 4 9 7 6 14 10 7 7 8 4
2023 Contract Condition   Yes Yes Yes     Yes   Yes Yes   Yes
Action   Yes Yes Yes     No   Yes Yes   Not Yet
High 219.25 206.05 174.35 173.60 180.30 190.05 182.90 201.75 191.55 191.75 166.00 168.30
Low 197.75 163.50 155.25 156.10 144.55 170.45 164.40 169.45 173.20 157.75 155.05 145.05
Close/Last 201.50 171.20 169.55 166.25 179.40 182.80 168.45 183.20 175.85 159.00 164.65 152.70

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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.