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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for January Natural Gas(NYM) as of Jun 08, 2020
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   28 29 29 29 30 30 30 30 30 30 30
Closed Higher   16 17 19 20 14 12 11 14 16 11 8
Exceeded High   14 14 19 16 10 6 10 11 14 5 5
Scenario Percentage   88% 82% 100% 80% 71% 50% 91% 79% 88% 45% 63%
Avg Max Increase   10.72% 12.11% 11.42% 11.35% 7.58% 15.76% 18.19% 15.39% 18.16% 29.55% 38.84%
Max Increase   25.04% 31.64% 47.87% 40.48% 14.74% 48.16% 64.91% 28.43% 56.64% 70.50% 84.34%
Avg Days To Max Increase   21 17 18 16 17 15 22 14 17 14 19
Avg Max Decline   -2.38% -1.95% -2.54% -2.57% -2.78% -2.68% -4.41% -2.72% -4.50% -3.03% -2.72%
Max Decline   -4.65% -6.85% -6.57% -9.29% -6.74% -5.99% -13.28% -6.31% -15.91% -6.78% -11.07%
Avg Days to Max Decline   8 6 11 5 13 7 11 7 8 3 1
2020 Contract Condition   Yes Yes             Yes Yes  
Action   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   28 29 29 29 30 30 30 30 30 30 30
Closed Lower   11 12 10 9 16 18 19 16 14 19 22
Penetrated Low   11 5 10 8 13 16 17 13 13 17 18
Scenario Percentage   100% 42% 100% 89% 81% 89% 89% 81% 93% 89% 82%
Avg Max Decline   7.45% 9.81% 7.01% 9.15% 9.95% 10.00% 9.90% 12.46% 14.79% 18.47% 12.89%
Max Decline   18.30% 13.87% 20.78% 26.58% 17.81% 21.28% 23.85% 29.96% 23.74% 32.37% 24.65%
Avg Days To Max Decline   15 20 22 19 23 21 15 17 21 15 13
Avg Max Increase   -3.31% -1.75% -4.00% -3.17% -4.33% -3.01% -3.54% -3.31% -7.02% -5.02% -4.30%
Max Increase   -9.98% -3.06% -11.41% -7.95% -13.60% -8.21% -9.78% -12.23% -25.00% -18.44% -14.45%
Avg Days to Max Increase   8 13 15 11 9 16 6 12 20 7 3
2020 Contract Condition       Yes Yes Yes Yes Yes Yes     Yes
Action       Yes Yes Yes Yes Yes No     Yes
High 3.245 3.240 3.184 3.243 3.154 3.095 2.890 2.865 2.706 2.978 2.826 2.980
Low 3.055 2.975 3.016 3.083 2.918 2.871 2.574 2.546 2.474 2.577 2.520 2.270
Close/Last 3.063 3.163 3.184 3.087 2.987 2.874 2.707 2.641 2.588 2.622 2.732 2.281

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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.