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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Wheat(KCBT) as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   33 38 38 39 40 40 40 40 40 40 40
Closed Higher   17 17 16 18 19 14 19 18 24 23 20
Exceeded High   12 9 14 13 12 8 14 11 21 14 11
Scenario Percentage   71% 53% 88% 72% 63% 57% 74% 61% 88% 61% 55%
Avg Max Increase   10.75% 14.58% 10.50% 14.11% 16.29% 19.66% 14.43% 11.74% 7.30% 8.01% 4.17%
Max Increase   36.74% 37.67% 34.95% 40.64% 35.83% 63.13% 47.21% 30.80% 18.11% 16.18% 9.92%
Avg Days To Max Increase   19 16 14 14 17 16 22 14 15 8 6
Avg Max Decline   -1.46% -3.02% -2.68% -1.98% -1.97% -1.84% -2.66% -1.14% -1.48% -3.09% -0.85%
Max Decline   -4.43% -9.63% -6.36% -9.64% -6.20% -6.87% -8.20% -5.43% -3.89% -11.19% -1.87%
Avg Days to Max Decline   8 12 13 4 6 5 11 6 5 9 2
2015 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   33 38 38 39 40 40 40 40 40 40 40
Closed Lower   16 21 22 21 21 26 21 22 16 17 20
Penetrated Low   14 18 17 19 20 22 17 15 13 12 13
Scenario Percentage   88% 86% 77% 90% 95% 85% 81% 68% 81% 71% 65%
Avg Max Decline   6.57% 5.69% 6.19% 6.13% 8.59% 8.34% 8.76% 8.42% 8.31% 8.03% 6.10%
Max Decline   12.15% 14.83% 18.60% 22.51% 19.95% 20.10% 21.33% 36.72% 25.42% 15.75% 15.97%
Avg Days To Max Decline   19 19 18 19 20 15 15 17 16 14 9
Avg Max Increase   -1.92% -2.78% -2.47% -3.44% -2.89% -2.13% -3.23% -1.51% -1.94% -2.63% -0.84%
Max Increase   -5.80% -13.04% -6.90% -23.37% -19.82% -7.08% -16.86% -6.08% -6.85% -8.90% -2.24%
Avg Days to Max Increase   10 16 12 8 10 7 6 4 7 4 2
2015 Contract Condition   Yes     Yes Yes   Yes Yes   Yes Yes
Action   Yes     Yes Yes   Yes Yes   Yes Yes
High 719.00 668.50 604.25 608.25 616.25 590.00 628.75 628.00 531.75 506.75 521.00 499.50
Low 643.00 570.00 557.25 552.25 520.00 515.00 522.75 510.00 478.25 465.75 469.50 449.00
Close/Last 659.00 572.25 574.50 586.50 528.50 524.75 628.00 512.00 487.75 501.75 493.75 457.00

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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.