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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Wheat(KCBT) as of Jan 01, 2015
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   38 38 38 38 38 38 38 38 38 39 39
Closed Higher   19 21 22 17 17 19 15 16 20 19 14
Exceeded High   13 19 15 8 15 14 8 13 15 11 7
Scenario Percentage   68% 90% 68% 47% 88% 74% 53% 81% 75% 58% 50%
Avg Max Increase   7.97% 6.93% 6.55% 9.06% 12.59% 10.82% 16.43% 12.07% 15.86% 16.55% 8.20%
Max Increase   18.50% 17.57% 23.52% 25.31% 60.93% 39.68% 42.27% 37.83% 41.89% 31.56% 15.69%
Avg Days To Max Increase   17 17 14 14 15 18 20 14 13 17 10
Avg Max Decline   -2.29% -1.72% -2.41% -3.26% -3.00% -1.52% -2.96% -1.98% -2.02% -1.76% -0.22%
Max Decline   -5.38% -5.73% -10.23% -7.13% -9.54% -5.86% -9.79% -5.67% -10.53% -6.89% -1.66%
Avg Days to Max Decline   15 7 11 13 8 8 12 8 3 4 2
2014 Contract Condition     Yes Yes       Yes Yes Yes    
Action     Yes No       Yes Yes Yes    
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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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun
Tested Years   38 38 38 38 38 38 38 38 38 39 39
Closed Lower   19 17 16 21 21 18 23 22 18 20 25
Penetrated Low   13 13 12 16 18 16 20 17 17 18 16
Scenario Percentage   68% 76% 75% 76% 86% 89% 87% 77% 94% 90% 64%
Avg Max Decline   8.71% 8.45% 6.60% 6.74% 5.39% 6.40% 6.17% 6.51% 6.97% 7.51% 4.88%
Max Decline   35.28% 24.67% 14.99% 14.49% 13.11% 12.07% 15.99% 20.20% 24.70% 18.19% 11.26%
Avg Days To Max Decline   14 21 14 19 18 17 18 18 19 11 7
Avg Max Increase   -1.29% -1.89% -2.65% -1.52% -1.87% -2.04% -3.05% -2.32% -2.70% -2.19% -0.63%
Max Increase   -5.48% -6.43% -7.78% -4.09% -5.63% -5.93% -15.17% -7.56% -7.60% -7.05% -3.55%
Avg Days to Max Increase   4 11 8 9 8 9 13 11 7 8 1
2014 Contract Condition   Yes     Yes Yes Yes       Yes Yes
Action   Yes     Yes Yes No       Yes Yes
High 754.50 726.25 729.00 750.50 727.75 707.50 650.50 686.50 794.50 815.25 855.50 745.00
Low 697.00 689.75 686.00 711.50 685.00 637.25 599.00 600.75 670.50 723.25 721.50 702.00
Close/Last 714.75 707.75 719.25 723.00 700.50 643.50 602.75 670.50 765.25 812.50 723.00 710.50

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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.