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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March RBOB Gasoline(NYM) as of Jun 05, 2024
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   20 29 32 33 36 37 38 39 39 39 39
Closed Higher   13 20 18 19 24 18 19 19 17 24 25
Exceeded High   12 17 14 18 21 15 18 11 14 24 16
Scenario Percentage   92% 85% 78% 95% 88% 83% 95% 58% 82% 100% 64%
Avg Max Increase   10.73% 9.66% 8.90% 9.30% 9.85% 9.32% 7.52% 11.12% 13.74% 12.33% 11.15%
Max Increase   24.62% 32.02% 15.22% 26.75% 57.53% 31.03% 20.25% 18.41% 28.04% 34.52% 22.63%
Avg Days To Max Increase   21 16 20 18 18 13 13 23 18 17 17
Avg Max Decline   -1.33% -1.51% -2.35% -2.50% -1.98% -1.78% -2.07% -2.02% -3.35% -2.97% -2.42%
Max Decline   -5.80% -7.25% -9.40% -13.08% -13.67% -10.27% -10.51% -5.76% -12.03% -11.73% -13.95%
Avg Days to Max Decline   6 6 11 11 10 6 4 16 5 10 2
2024 Contract Condition         Yes Yes           Yes
Action         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 Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan
Tested Years   20 29 32 33 36 37 38 39 39 39 39
Closed Lower   6 9 14 14 12 19 19 20 22 15 14
Penetrated Low   2 6 8 10 8 12 14 17 17 7 9
Scenario Percentage   33% 67% 57% 71% 67% 63% 74% 85% 77% 47% 64%
Avg Max Decline   10.47% 9.16% 8.69% 10.74% 12.23% 12.77% 14.11% 14.63% 14.33% 21.20% 10.96%
Max Decline   11.50% 21.39% 16.48% 30.04% 25.77% 48.34% 55.77% 45.55% 32.34% 43.15% 29.14%
Avg Days To Max Decline   4 15 15 17 18 17 15 16 16 16 14
Avg Max Increase   -6.11% -2.48% -0.51% -2.30% -2.23% -2.58% -1.08% -2.32% -2.93% -4.58% -2.45%
Max Increase   -6.88% -6.37% -2.09% -8.82% -11.97% -11.93% -7.32% -6.63% -10.96% -17.88% -12.22%
Avg Days to Max Increase   12 8 4 9 12 13 6 2 9 8 4
2024 Contract Condition   Yes Yes Yes     Yes Yes Yes Yes Yes  
Action   Yes Yes No     Yes Yes Yes Yes Not Yet  
High 223.04 230.89 232.71 214.91 213.52 238.78 241.69 255.11 236.79 228.78 223.83 235.14
Low 207.56 197.50 211.11 192.69 199.60 206.36 228.35 232.15 213.50 209.05 199.83 203.62
Close/Last 221.12 217.73 215.14 200.64 210.93 238.24 236.38 232.63 222.79 219.22 212.58 223.12

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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.