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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for August Natural Gas(NYM) 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   30 30 30 30 30 30 30 30 30 31 31
Closed Higher   14 16 11 9 12 15 17 20 19 13 12
Exceeded High   11 12 8 7 9 13 14 20 18 9 5
Scenario Percentage   79% 75% 73% 78% 75% 87% 82% 100% 95% 69% 42%
Avg Max Increase   8.13% 6.73% 7.57% 10.73% 14.61% 14.62% 17.30% 15.05% 14.06% 15.25% 9.37%
Max Increase   23.34% 15.36% 15.93% 26.45% 41.51% 29.66% 48.98% 52.12% 47.41% 28.82% 18.75%
Avg Days To Max Increase   19 17 14 21 19 23 17 16 14 19 14
Avg Max Decline   -2.26% -3.61% -2.61% -2.38% -1.80% -3.22% -2.64% -3.93% -5.14% -5.75% -3.74%
Max Decline   -4.89% -13.01% -9.95% -4.92% -5.68% -5.42% -6.66% -8.17% -12.70% -12.50% -12.28%
Avg Days to Max Decline   9 10 5 18 7 10 9 12 10 12 5
2020 Contract Condition     Yes Yes   Yes     Yes Yes    
Action     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   30 30 30 30 30 30 30 30 30 31 31
Closed Lower   16 14 19 21 18 15 13 10 11 18 19
Penetrated Low   12 12 15 18 14 12 9 10 9 16 14
Scenario Percentage   75% 86% 79% 86% 78% 80% 69% 100% 82% 89% 74%
Avg Max Decline   8.78% 8.18% 11.75% 12.18% 9.71% 12.57% 9.94% 10.24% 15.07% 15.42% 10.40%
Max Decline   21.05% 17.97% 22.09% 29.97% 28.66% 25.57% 23.91% 27.18% 36.75% 28.58% 16.43%
Avg Days To Max Decline   17 21 19 15 15 18 17 21 20 18 16
Avg Max Increase   -1.69% -3.47% -1.74% -2.02% -2.50% -4.83% -5.51% -4.75% -4.62% -6.48% -2.28%
Max Increase   -6.55% -10.48% -5.89% -7.11% -11.65% -11.28% -21.80% -11.46% -10.17% -14.97% -11.11%
Avg Days to Max Increase   10 11 6 8 5 12 11 11 10 8 5
2020 Contract Condition   Yes     Yes   Yes Yes     Yes Yes
Action   No     Yes   Yes Yes     Yes Not Yet
High 2.577 2.477 2.467 2.426 2.486 2.344 2.345 2.181 2.228 2.390 2.447 1.960
Low 2.394 2.297 2.339 2.315 2.265 2.251 2.090 1.884 1.858 1.900 1.862 1.517
Close/Last 2.446 2.345 2.350 2.413 2.268 2.319 2.115 1.918 1.978 2.275 1.940 1.751

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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.