Moore Research Center, Inc.

  • Increase font size
  • Default font size
  • Decrease font size
Home MRCI Online
Print
New Windows

MRCI's Scenario Study

MRCI Logo
MRCI's ScenarioSM Study
ScenarioSM Study for August Pork Bellies(CME) as of Dec 31, 1999
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   27 35 35 36 36 37 37 37 37 37 37
Closed Higher   13 16 20 16 22 11 22 19 14 15 19
Exceeded High   8 12 14 14 15 10 17 16 10 13 15
Scenario Percentage   62% 75% 70% 88% 68% 91% 77% 84% 71% 87% 79%
Avg Max Increase   9.50% 13.28% 11.47% 10.69% 11.07% 19.25% 14.68% 12.67% 19.12% 23.47% 14.54%
Max Increase   27.59% 28.41% 28.69% 31.88% 41.46% 44.62% 37.26% 40.28% 37.78% 47.90% 34.81%
Avg Days To Max Increase   20 18 15 18 20 24 15 15 20 16 12
Avg Max Decline   -3.13% -2.01% -2.91% -3.22% -3.72% -2.86% -2.79% -3.43% -2.64% -4.67% -0.56%
Max Decline   -6.95% -4.17% -7.10% -10.01% -10.22% -12.16% -10.89% -12.48% -7.90% -19.97% -11.47%
Avg Days to Max Decline   9 7 8 12 12 5 6 7 4 7 2
2009 Contract Condition                        
Action                        
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   27 35 35 36 36 37 37 37 37 37 37
Closed Lower   14 18 14 19 13 26 15 17 23 22 18
Penetrated Low   11 17 10 12 9 18 10 16 22 17 11
Scenario Percentage   79% 94% 71% 63% 69% 69% 67% 94% 96% 77% 61%
Avg Max Decline   7.16% 8.28% 11.10% 8.90% 12.84% 11.33% 17.15% 17.12% 18.75% 17.42% 9.34%
Max Decline   17.72% 26.02% 21.17% 15.20% 27.41% 29.48% 30.80% 37.59% 39.70% 30.79% 19.07%
Avg Days To Max Decline   11 17 17 20 20 21 24 22 19 16 13
Avg Max Increase   -4.05% -3.07% -2.74% -6.03% -5.02% -5.17% -5.32% -5.78% -5.04% -3.00% -4.20%
Max Increase   -10.84% -11.81% -11.40% -10.89% -13.97% -13.70% -11.71% -18.63% -19.73% -14.75% -12.86%
Avg Days to Max Increase   9 9 10 19 12 12 19 14 9 7 5
2009 Contract Condition                        
Action                        
High 101.000                      
Low 98.000                      
Close/Last 98.000                      

Banner

Login

Main Menu

MRCI Online

Free Links

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.