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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December Natural Gas(NYM) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   20 21 21 21 21 22 22 22 22 22 22
Closed Higher   10 11 14 15 14 12 8 11 11 12 7
Exceeded High   7 10 12 15 12 7 4 10 9 10 2
Scenario Percentage   70% 91% 86% 100% 86% 58% 50% 91% 82% 83% 29%
Avg Max Increase   13.70% 12.77% 13.14% 12.84% 12.71% 9.73% 18.40% 19.77% 17.94% 18.32% 26.52%
Max Increase   32.50% 25.43% 34.97% 48.25% 40.77% 15.24% 52.45% 67.45% 32.88% 69.88% 48.46%
Avg Days To Max Increase   21 25 19 18 15 18 9 20 13 17 11
Avg Max Decline   -1.13% -2.11% -2.16% -2.73% -2.74% -2.56% -2.42% -4.43% -2.45% -5.99% -4.22%
Max Decline   -3.50% -3.30% -6.82% -6.82% -9.58% -5.95% -7.11% -13.32% -7.45% -17.06% -7.26%
Avg Days to Max Decline   6 8 5 9 8 10 5 8 7 8 3
2011 Contract Condition   Yes     Yes Yes            
Action   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 Nov Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct
Tested Years   20 21 21 21 21 22 22 22 22 22 22
Closed Lower   10 10 7 6 7 10 14 11 11 10 15
Penetrated Low   8 7 3 6 6 8 12 10 11 9 11
Scenario Percentage   80% 70% 43% 100% 86% 80% 86% 91% 100% 90% 73%
Avg Max Decline   6.69% 9.66% 10.35% 7.98% 10.44% 11.56% 10.99% 12.49% 14.04% 15.04% 10.80%
Max Decline   21.07% 18.72% 14.25% 21.83% 28.01% 19.21% 23.07% 24.65% 30.31% 29.25% 18.72%
Avg Days To Max Decline   15 15 22 22 21 24 23 15 15 19 17
Avg Max Increase   -2.15% -3.27% -1.53% -4.32% -3.66% -6.56% -2.60% -4.89% -2.13% -9.02% -4.39%
Max Increase   -7.66% -8.82% -3.52% -11.38% -8.62% -14.34% -7.63% -10.56% -5.16% -31.20% -16.04%
Avg Days to Max Increase   10 6 7 17 17 14 15 8 7 17 4
2011 Contract Condition     Yes Yes     Yes Yes Yes Yes Yes Yes
Action     Yes Yes     Yes Yes Yes Yes Yes Yes
High 5.176 5.221 5.268 5.048 5.145 5.173 5.215 5.283 4.871 4.537 4.450 4.039
Low 4.740 4.785 4.895 4.565 4.520 4.708 4.670 4.586 4.457 4.134 3.936 3.724
Close/Last 4.987 5.092 4.985 4.770 4.998 5.165 5.075 4.739 4.462 4.386 3.962 3.934

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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.