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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July Lumber(CME) as of Nov 09, 2020
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   32 39 43 44 44 45 45 45 45 45 45
Closed Higher   14 17 26 30 26 24 21 22 18 23 22
Exceeded High   8 16 21 23 24 21 18 15 14 16 10
Scenario Percentage   57% 94% 81% 77% 92% 88% 86% 68% 78% 70% 45%
Avg Max Increase   8.68% 7.98% 6.84% 7.55% 9.00% 8.81% 10.23% 13.93% 16.78% 12.38% 8.80%
Max Increase   23.27% 25.83% 14.46% 19.72% 40.42% 55.50% 33.07% 54.48% 39.21% 58.81% 33.81%
Avg Days To Max Increase   23 14 21 21 18 17 18 17 20 12 11
Avg Max Decline   -1.90% -2.21% -2.51% -2.92% -2.69% -1.83% -2.44% -2.66% -1.70% -2.28% -1.29%
Max Decline   -5.02% -9.32% -7.04% -8.09% -11.69% -7.30% -7.31% -10.49% -3.69% -9.18% -4.12%
Avg Days to Max Decline   22 9 13 12 10 8 9 13 5 5 4
2020 Contract Condition   Yes   Yes   Yes Yes     Yes Yes Yes
Action   Yes   Yes   Yes Yes     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   32 39 43 44 44 45 45 45 45 45 45
Closed Lower   18 22 17 13 18 21 24 23 27 22 23
Penetrated Low   15 14 11 9 12 17 21 20 19 18 7
Scenario Percentage   83% 64% 65% 69% 67% 81% 88% 87% 70% 82% 30%
Avg Max Decline   7.90% 5.59% 4.82% 6.21% 8.84% 8.32% 11.60% 10.11% 13.49% 10.31% 8.94%
Max Decline   16.39% 12.07% 12.06% 15.43% 23.33% 23.99% 33.20% 21.31% 32.97% 24.37% 14.70%
Avg Days To Max Decline   21 16 13 11 20 18 17 17 16 14 10
Avg Max Increase   -2.21% -3.08% -2.31% -2.51% -1.38% -3.85% -2.32% -2.42% -2.88% -2.79% -0.39%
Max Increase   -7.91% -12.19% -8.45% -11.10% -5.17% -15.42% -8.46% -8.23% -8.46% -8.95% -3.50%
Avg Days to Max Increase   14 9 6 7 8 8 10 6 7 5 3
2020 Contract Condition     Yes   Yes     Yes Yes      
Action     Yes   Yes     Yes Yes      
High 379.4 396.8 394.2 401.7 410.9 417.1 434.2 470.7 428.1 357.8 378.5 447.7
Low 348.5 357.2 373.8 372.8 389.1 389.0 406.2 405.0 295.0 274.5 319.0 346.3
Close/Last 362.6 392.5 383.5 398.5 397.8 412.1 434.2 410.9 300.9 321.6 367.1 435.7

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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.