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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for April 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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   18 28 31 34 38 38 39 39 39 39 39
Closed Higher   14 14 19 23 21 17 20 20 23 25 20
Exceeded High   12 11 18 19 17 15 13 17 23 19 18
Scenario Percentage   86% 79% 95% 83% 81% 88% 65% 85% 100% 76% 90%
Avg Max Increase   13.00% 9.20% 8.54% 9.66% 8.04% 7.66% 9.76% 13.61% 12.29% 16.71% 11.28%
Max Increase   35.19% 14.66% 27.24% 54.45% 28.85% 18.46% 17.20% 27.12% 33.52% 46.23% 32.66%
Avg Days To Max Increase   16 19 20 18 15 16 22 18 18 16 18
Avg Max Decline   -0.74% -2.14% -2.39% -1.82% -1.44% -2.24% -1.84% -1.89% -2.12% -3.15% -2.43%
Max Decline   -5.74% -11.05% -11.95% -12.80% -8.21% -9.33% -5.20% -8.51% -9.66% -17.22% -9.62%
Avg Days to Max Decline   4 7 11 9 8 5 14 5 8 4 4
2024 Contract Condition       Yes Yes           Yes Yes
Action       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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   18 28 31 34 38 38 39 39 39 39 39
Closed Lower   4 14 12 11 17 20 18 19 16 14 19
Penetrated Low   3 7 8 8 11 15 15 17 9 9 12
Scenario Percentage   75% 50% 67% 73% 65% 75% 83% 89% 56% 64% 63%
Avg Max Decline   12.10% 7.86% 10.36% 10.92% 12.76% 12.52% 14.64% 13.09% 16.14% 20.85% 12.58%
Max Decline   19.72% 13.84% 25.39% 23.96% 45.36% 51.97% 42.72% 29.87% 42.20% 77.42% 74.64%
Avg Days To Max Decline   15 17 19 20 16 15 16 17 17 11 14
Avg Max Increase   -1.10% -0.51% -2.63% -1.46% -2.06% -0.90% -2.09% -2.68% -3.63% -1.83% -2.52%
Max Increase   -3.84% -1.89% -8.35% -11.01% -10.38% -6.77% -6.20% -12.42% -11.22% -8.27% -7.41%
Avg Days to Max Increase   8 5 10 12 10 7 2 10 13 6 5
2024 Contract Condition   Yes Yes     Yes Yes Yes Yes Yes    
Action   Yes No     Yes Yes Yes Yes No    
High 248.28 249.16 230.34 229.51 255.46 259.52 272.83 255.39 247.50 242.55 257.02 263.38
Low 216.50 227.25 212.29 216.13 223.62 247.89 251.41 233.47 228.43 219.50 224.46 235.88
Close/Last 235.43 231.14 216.76 228.04 255.46 255.13 251.73 242.37 238.27 231.34 246.31 258.10

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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.