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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Natural Gas(NYM) as of May 31, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   19 19 19 19 19 19 19 19 20 20 20
Closed Higher   11 7 5 7 10 13 14 11 10 8 8
Exceeded High   7 4 4 6 10 12 14 10 6 6 8
Scenario Percentage   64% 57% 80% 86% 100% 92% 100% 91% 60% 75% 100%
Avg Max Increase   6.72% 6.92% 10.79% 17.87% 15.37% 17.54% 16.38% 16.83% 13.92% 16.32% 14.70%
Max Increase   14.51% 12.72% 25.70% 40.58% 29.66% 48.89% 51.66% 46.20% 20.70% 44.05% 28.45%
Avg Days To Max Increase   16 10 14 20 23 16 18 15 20 16 15
Avg Max Decline   -4.55% -1.09% -1.73% -0.49% -2.81% -2.42% -3.61% -3.57% -5.42% -7.69% -5.16%
Max Decline   -12.68% -3.00% -2.90% -3.47% -4.55% -6.78% -7.19% -9.20% -11.97% -18.51% -11.41%
Avg Days to Max Decline   9 2 5 8 12 7 8 7 13 10 4
2010 Contract Condition   Yes     Yes       Yes Yes    
Action   Yes     Yes       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 Aug Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul
Tested Years   19 19 19 19 19 19 19 19 20 20 20
Closed Lower   8 12 14 12 8 6 5 8 10 12 12
Penetrated Low   5 9 12 11 5 4 5 6 9 10 9
Scenario Percentage   63% 75% 86% 92% 63% 67% 100% 75% 90% 83% 75%
Avg Max Decline   7.82% 10.06% 10.51% 9.07% 11.45% 7.73% 12.16% 17.35% 17.97% 15.70% 14.04%
Max Decline   17.97% 20.90% 29.50% 28.61% 25.24% 22.92% 25.63% 35.19% 27.88% 31.54% 25.38%
Avg Days To Max Decline   24 18 14 18 25 20 24 24 23 17 20
Avg Max Increase   -2.99% -1.62% -2.00% -2.03% -5.15% -7.68% -3.41% -4.33% -8.15% -4.52% -6.35%
Max Increase   -4.08% -5.87% -6.49% -10.41% -10.77% -23.15% -11.31% -10.27% -14.77% -13.49% -16.17%
Avg Days to Max Increase   15 7 7 6 13 19 9 10 14 20 5
2010 Contract Condition     Yes Yes   Yes Yes Yes     Yes  
Action     Yes Yes   Yes Yes Yes        
High 6.324 6.274 6.458 5.784 6.145 6.160 5.883 5.167 4.680 4.702 4.550  
Low 5.677 5.275 5.745 5.175 4.970 5.390 5.076 4.145 4.170 4.140 4.352  
Close/Last 5.680 6.239 5.825 5.417 5.795 5.425 5.145 4.213 4.215 4.464 4.371  

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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.