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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Lumber(CME) 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   26 33 37 41 42 42 42 42 42 42 42
Closed Higher   19 20 22 21 21 20 15 22 20 13 22
Exceeded High   14 15 22 18 16 12 12 14 14 11 11
Scenario Percentage   74% 75% 100% 86% 76% 60% 80% 64% 70% 85% 50%
Avg Max Increase   6.23% 7.16% 7.71% 9.25% 9.15% 10.25% 11.95% 9.87% 10.55% 13.90% 6.62%
Max Increase   13.23% 13.56% 31.46% 52.86% 38.49% 39.11% 23.00% 19.99% 25.13% 26.44% 12.90%
Avg Days To Max Increase   19 20 16 16 17 19 16 16 17 12 8
Avg Max Decline   -2.16% -2.09% -2.24% -1.57% -2.02% -2.09% -1.27% -1.52% -4.25% -2.34% -1.31%
Max Decline   -6.25% -5.83% -8.33% -7.63% -7.72% -5.74% -3.66% -5.48% -9.89% -9.06% -4.26%
Avg Days to Max Decline   10 10 11 7 9 12 4 9 11 6 2
2014 Contract Condition   Yes               Yes   Yes
Action   No               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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   26 33 37 41 42 42 42 42 42 42 42
Closed Lower   7 13 15 20 21 22 27 20 22 29 20
Penetrated Low   4 10 9 15 18 17 21 18 17 22 11
Scenario Percentage   57% 77% 60% 75% 86% 77% 78% 90% 77% 76% 55%
Avg Max Decline   7.93% 5.97% 8.40% 7.52% 8.13% 8.64% 11.53% 11.62% 12.22% 11.36% 6.98%
Max Decline   11.00% 12.53% 23.38% 22.97% 22.74% 17.90% 25.46% 25.87% 26.91% 25.43% 13.75%
Avg Days To Max Decline   14 14 19 20 21 17 14 21 17 14 9
Avg Max Increase   -2.54% -1.17% -1.00% -2.76% -2.33% -3.06% -2.57% -4.20% -3.26% -3.18% -0.58%
Max Increase   -6.38% -8.43% -4.64% -14.33% -7.53% -11.86% -10.25% -9.43% -11.47% -16.79% -2.63%
Avg Days to Max Increase   8 5 9 9 13 6 10 12 7 5 3
2014 Contract Condition     Yes Yes Yes Yes Yes Yes Yes   Yes  
Action     Yes Yes Yes Yes Yes Yes Yes   Not Yet  
High 386.8 384.8 382.0 377.0 372.0 370.1 369.0 354.6 349.3 342.0 342.0 356.5
Low 352.9 364.8 364.0 354.8 359.0 352.5 329.0 325.5 312.5 293.0 320.0 323.6
Close/Last 374.8 378.8 374.0 363.0 360.5 355.0 344.6 336.8 312.5 335.8 324.4 348.4

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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.