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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Wheat(KCBT) as of May 10, 2021
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Higher   18 22 14 22 22 28 26 20 22 22 19
Exceeded High   14 13 10 17 14 25 14 16 16 14 11
Scenario Percentage   78% 59% 71% 77% 64% 89% 54% 80% 73% 64% 58%
Avg Max Increase   10.75% 14.38% 16.43% 12.98% 11.75% 6.76% 9.23% 7.13% 10.39% 10.24% 3.46%
Max Increase   28.55% 32.89% 59.08% 44.59% 30.20% 15.65% 19.00% 19.78% 51.59% 43.16% 8.42%
Avg Days To Max Increase   16 15 13 18 15 17 18 18 15 11 7
Avg Max Decline   -2.08% -1.83% -1.75% -1.98% -1.31% -1.69% -2.61% -2.36% -3.20% -1.22% -0.73%
Max Decline   -9.33% -5.63% -6.34% -7.25% -5.41% -5.38% -10.93% -5.26% -9.31% -3.76% -4.89%
Avg Days to Max Decline   5 6 5 6 6 5 12 13 8 4 2
2021 Contract Condition           Yes Yes Yes   Yes Yes  
Action           Yes Yes Yes   Yes Not Yet  
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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   39 44 45 45 45 45 45 45 45 45 45
Closed Lower   21 21 31 23 21 17 19 25 23 23 26
Penetrated Low   20 19 28 21 15 14 15 21 17 14 13
Scenario Percentage   95% 90% 90% 91% 71% 82% 79% 84% 74% 61% 50%
Avg Max Decline   6.07% 8.33% 8.05% 9.34% 9.59% 8.97% 8.15% 7.76% 6.86% 5.05% 3.87%
Max Decline   14.40% 15.14% 18.98% 20.69% 36.28% 25.24% 22.02% 20.74% 17.44% 13.39% 9.09%
Avg Days To Max Decline   20 20 15 16 18 20 17 16 18 16 7
Avg Max Increase   -2.89% -3.20% -1.98% -2.56% -1.30% -2.31% -2.65% -1.95% -2.73% -2.43% -1.11%
Max Increase   -23.13% -19.01% -6.85% -16.08% -5.88% -6.70% -8.47% -6.36% -7.70% -7.08% -4.43%
Avg Days to Max Increase   9 9 6 7 5 11 5 9 10 10 3
2021 Contract Condition   Yes Yes Yes Yes       Yes     Yes
Action   Yes Yes Yes Yes       Yes     Yes
High 534.00 536.25 515.00 506.00 485.25 495.50 524.50 586.00 586.50 606.50 660.00 657.00
Low 464.25 498.50 469.75 450.50 455.00 432.75 474.25 506.50 541.75 530.75 587.25 604.50
Close/Last 527.75 515.25 498.50 464.25 463.75 486.25 518.25 547.75 547.00 603.50 638.00 624.75

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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.