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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Lumber(CME) as of Jan 01, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   31 33 41 44 45 45 45 45 45 45 45
Closed Higher   16 16 18 21 20 16 21 14 29 32 26
Exceeded High   12 10 14 14 14 13 11 13 24 23 14
Scenario Percentage   75% 63% 78% 67% 70% 81% 52% 93% 83% 72% 54%
Avg Max Increase   9.19% 10.11% 8.42% 7.69% 5.83% 10.15% 9.92% 11.48% 10.95% 9.37% 6.17%
Max Increase   46.82% 27.49% 24.50% 13.86% 12.69% 16.20% 19.41% 35.46% 29.17% 27.14% 12.64%
Avg Days To Max Increase   16 18 13 16 16 16 15 13 19 11 9
Avg Max Decline   -1.01% -1.68% -1.41% -1.74% -2.80% -2.84% -2.04% -3.07% -3.46% -3.87% -0.94%
Max Decline   -5.98% -6.05% -5.07% -5.15% -8.71% -7.00% -8.36% -7.74% -12.32% -11.73% -4.12%
Avg Days to Max Decline   7 10 5 6 9 10 8 6 11 8 3
2018 Contract Condition   Yes       Yes Yes Yes Yes Yes   Yes
Action   Yes       Yes Yes Yes Yes Yes   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 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Tested Years   31 33 41 44 45 45 45 45 45 45 45
Closed Lower   14 17 23 23 25 29 24 31 16 13 19
Penetrated Low   12 14 18 21 15 22 18 22 12 5 9
Scenario Percentage   86% 82% 78% 91% 60% 76% 75% 71% 75% 38% 47%
Avg Max Decline   7.65% 7.98% 9.28% 8.49% 9.97% 12.70% 10.89% 7.89% 7.77% 15.25% 8.15%
Max Decline   15.76% 16.83% 25.65% 20.85% 17.89% 25.40% 25.90% 20.55% 18.49% 28.58% 18.42%
Avg Days To Max Decline   20 13 17 21 20 24 21 13 13 11 11
Avg Max Increase   -1.82% -1.31% -2.20% -3.00% -2.32% -2.67% -3.47% -3.16% -3.55% -1.69% -0.91%
Max Increase   -3.61% -4.91% -11.07% -8.78% -7.32% -16.05% -11.88% -12.89% -10.24% -4.40% -2.43%
Avg Days to Max Increase   9 5 10 10 9 9 14 6 7 4 3
2018 Contract Condition     Yes Yes Yes           Yes  
Action     Yes Yes No           Not Yet  
High 371.8 391.0 391.0 408.0 388.0 361.5 382.8 381.5 399.3 448.0 461.9 455.4
Low 360.0 375.4 376.0 383.7 335.0 338.0 350.0 352.1 381.3 392.9 411.2 417.2
Close/Last 371.8 390.0 388.9 383.7 336.5 358.7 367.5 380.0 392.9 444.0 427.7 448.0

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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.