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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December NASDAQ 100(CME) as of Jan 01, 2010
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   2 2 2 13 13 13 14 14 14 14 14
Closed Higher       1 8 7 8 6 8 9 9 11
Exceeded High       1 8 7 6 5 7 9 9 9
Scenario Percentage       100% 100% 100% 75% 83% 88% 100% 100% 82%
Avg Max Increase       15.93% 8.43% 7.05% 8.99% 6.06% 9.76% 12.08% 13.56% 5.61%
Max Increase       15.93% 12.53% 14.62% 12.41% 9.68% 18.14% 29.75% 26.95% 12.30%
Avg Days To Max Increase       29 17 21 22 12 21 21 9 8
Avg Max Decline       1.05% -2.27% -2.35% -1.10% -2.20% -2.11% -4.50% -1.14% -0.99%
Max Decline       1.05% -7.11% -3.60% -4.73% -5.35% -4.34% -21.51% -2.40% -3.34%
Avg Days to Max Decline       1 18 15 3 6 14 8 2 2
2009 Contract Condition       Yes Yes Yes Yes Yes Yes Yes   Yes
Action       Yes 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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   2 2 2 13 13 13 14 14 14 14 14
Closed Lower   2 2 1 5 6 5 8 6 5 5 3
Penetrated Low   2 2   4 4 4 6 5 3 2  
Scenario Percentage   100% 100% 0% 80% 67% 80% 75% 83% 60% 40% 0%
Avg Max Decline   10.70% 6.63%   13.82% 12.21% 7.52% 12.22% 13.58% 24.67% 25.10%  
Max Decline   11.40% 6.82%   22.01% 26.24% 18.32% 35.81% 26.13% 36.68% 26.18%  
Avg Days To Max Decline   9 9   19 20 10 15 15 19 25  
Avg Max Increase   -4.52% 1.69%   -2.00% -3.02% -0.76% -3.38% -7.91% -2.44% -3.44%  
Max Increase   -8.21% 1.16%   -3.71% -8.52% -1.43% -9.09% -24.96% -6.40% -3.85%  
Avg Days to Max Increase   3 4   7 5 4 6 19 1 5  
2009 Contract Condition   Yes Yes               Yes  
Action   Yes Yes               Not Yet  
High 1248.80 1276.30 1279.00 1277.30 1395.50 1437.50 1502.50 1604.80 1658.00 1754.00 1780.00 1815.00
Low 1103.30 1150.30 1114.50 1047.30 1253.00 1344.80 1420.80 1405.30 1562.50 1590.50 1649.80 1650.00
Close/Last 1217.50 1182.00 1119.30 1240.00 1395.50 1436.80 1475.00 1599.80 1622.80 1717.50 1665.50 1767.50

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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.