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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September NASDAQ 100 E-Mini(CME) 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   13 13 13 19 18 20 24 24 24 25 25
Closed Higher   8 8 7 11 10 11 16 14 12 17 14
Exceeded High   6 7 7 10 10 10 14 14 10 13 12
Scenario Percentage   75% 88% 100% 91% 100% 91% 88% 100% 83% 76% 86%
Avg Max Increase   5.28% 6.18% 7.16% 6.70% 6.80% 6.84% 8.24% 7.26% 9.79% 6.01% 3.49%
Max Increase   8.73% 10.41% 11.35% 13.48% 13.60% 16.31% 14.73% 15.89% 19.88% 14.46% 7.78%
Avg Days To Max Increase   21 19 19 18 21 23 16 23 23 10 8
Avg Max Decline   -0.94% -1.31% -0.42% -0.65% -2.28% -1.81% -2.50% -3.33% -1.96% -2.06% -0.97%
Max Decline   -3.02% -3.16% -4.33% -11.31% -6.39% -6.15% -8.94% -7.72% -5.67% -6.35% -2.49%
Avg Days to Max Decline   7 8 8 5 11 8 9 21 8 10 3
2020 Contract Condition   Yes Yes Yes Yes     Yes Yes Yes Yes Yes
Action   Yes 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   13 13 13 19 18 20 24 24 24 25 25
Closed Lower   5 5 6 8 8 9 8 10 12 8 11
Penetrated Low   4 2 3 5 6 5 6 8 9 6 2
Scenario Percentage   80% 40% 50% 63% 75% 56% 75% 80% 75% 75% 18%
Avg Max Decline   11.87% 16.12% 12.13% 6.50% 12.32% 5.21% 12.65% 9.52% 7.91% 10.08% 5.77%
Max Decline   22.33% 16.41% 17.63% 11.37% 28.82% 13.21% 24.35% 28.18% 18.69% 22.21% 10.56%
Avg Days To Max Decline   17 25 11 7 8 5 18 13 11 9 6
Avg Max Increase   -2.22% -2.12% 0.17% -2.61% -2.15% 0.03% -2.73% -2.80% -2.79% -2.05% -6.24%
Max Increase   -3.47% -2.16% -0.76% -8.52% -6.45% -2.31% -5.32% -10.94% -6.74% -5.11% -9.04%
Avg Days to Max Increase   5 6 3 3 4 1 11 6 9 3 2
2020 Contract Condition           Yes Yes          
Action           Yes No          
High 7998.50 8174.25 8495.00 8867.25 9313.50 9791.50 8999.50 9128.00 9587.50 10296.25 11058.50 12165.00
Low 7692.25 7560.00 8227.25 8255.00 8724.00 8155.50 6626.00 7378.00 8545.00 9368.25 10076.00 10845.50
Close/Last 7828.75 8155.00 8481.25 8793.50 9039.50 8454.50 7787.00 8974.25 9542.25 10147.25 10890.50 12114.00

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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.