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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December NASDAQ 100 E-Mini(CME) as of Sep 30, 2024
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   16 16 16 21 21 22 28 28 28 28 28
Closed Higher   9 9 10 16 11 13 20 15 14 18 22
Exceeded High   9 9 9 15 11 12 15 14 13 17 18
Scenario Percentage   100% 100% 90% 94% 100% 92% 75% 93% 93% 94% 82%
Avg Max Increase   6.99% 6.02% 6.97% 7.65% 7.87% 8.63% 6.58% 6.29% 10.58% 9.39% 3.86%
Max Increase   12.73% 12.94% 15.87% 15.23% 15.63% 19.87% 14.48% 18.14% 29.75% 26.95% 12.30%
Avg Days To Max Increase   22 21 21 17 23 24 15 20 21 11 10
Avg Max Decline   -1.31% -2.08% -0.73% -2.56% -2.97% -1.37% -2.05% -3.13% -3.96% -1.66% -1.49%
Max Decline   -9.27% -5.96% -3.69% -7.12% -7.74% -5.68% -6.40% -9.58% -21.51% -7.09% -5.15%
Avg Days to Max Decline   10 16 8 11 19 9 12 16 7 4 4
2024 Contract Condition   Yes Yes Yes   Yes Yes   Yes Yes    
Action   Yes Yes Yes   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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 16 16 21 21 22 28 28 28 28 28
Closed Lower   7 7 6 5 10 9 8 13 14 10 6
Penetrated Low   5 5 3 4 7 5 6 7 9 7 1
Scenario Percentage   71% 71% 50% 80% 70% 56% 75% 54% 64% 70% 17%
Avg Max Decline   6.58% 9.46% 3.37% 12.03% 7.11% 6.84% 12.60% 13.31% 23.59% 24.23% 7.89%
Max Decline   11.29% 22.04% 4.86% 20.68% 12.64% 15.18% 35.81% 26.13% 99.28% 99.76% 7.89%
Avg Days To Max Decline   8 16 7 16 11 10 15 16 17 15 17
Avg Max Increase   -2.44% -2.38% -0.50% -2.95% -2.07% -2.96% -4.20% -6.58% -3.45% -3.87% -2.73%
Max Increase   -8.21% -7.48% -2.13% -5.40% -8.52% -6.68% -9.24% -24.96% -11.53% -12.13% -2.73%
Avg Days to Max Increase   2 10 2 10 6 10 6 15 7 10 3
2024 Contract Condition         Yes     Yes        
Action         No     Yes        
High 1291.00 1920.50 2366.00 2741.00 2651.00 3116.00 4227.75 4856.25 3876.25 4154.00    
Low 188.00 610.50 1637.25 2066.00 1171.75 1445.00 2530.75 2582.00 1168.75 2178.00    
Close/Last 1191.50 1445.50 2366.00 2532.00 1619.50 2683.50 3795.50 3363.25 3475.00 3877.25    

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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.