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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for July RBOB Gasoline(NYM) as of Jan 21, 2022
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   16 25 28 29 33 36 36 36 36 36 36
Closed Higher   10 14 12 16 18 20 23 18 27 27 20
Exceeded High   8 10 10 12 16 19 20 18 23 23 12
Scenario Percentage   80% 71% 83% 75% 89% 95% 87% 100% 85% 85% 60%
Avg Max Increase   5.70% 6.70% 7.94% 8.01% 11.62% 9.84% 13.57% 14.44% 12.05% 12.69% 7.95%
Max Increase   12.65% 13.21% 17.64% 13.11% 21.01% 27.36% 32.57% 30.89% 32.29% 64.48% 23.21%
Avg Days To Max Increase   18 16 14 22 17 18 20 22 16 14 19
Avg Max Decline   -1.23% -1.93% -1.09% -1.90% -1.25% -1.50% -3.90% -2.89% -3.23% -2.28% -2.96%
Max Decline   -7.41% -3.52% -6.49% -7.78% -8.06% -8.15% -17.05% -13.80% -13.26% -9.95% -6.34%
Avg Days to Max Decline   7 9 5 10 5 8 10 11 5 6 7
2021 Contract Condition   Yes Yes     Yes Yes Yes Yes Yes Yes Yes
Action   Yes No     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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years   16 25 28 29 33 36 36 36 36 36 36
Closed Lower   6 11 15 13 15 16 13 18 9 9 16
Penetrated Low   5 7 12 11 13 9 8 10 5 7 13
Scenario Percentage   83% 64% 80% 85% 87% 56% 62% 56% 56% 78% 81%
Avg Max Decline   10.34% 14.33% 12.64% 14.49% 12.24% 15.28% 20.34% 14.01% 9.42% 9.12% 9.39%
Max Decline   23.47% 44.50% 49.69% 39.46% 27.20% 39.30% 65.38% 60.95% 15.58% 17.72% 25.46%
Avg Days To Max Decline   18 19 14 16 18 15 15 14 4 14 17
Avg Max Increase   -0.29% -1.18% -0.70% -1.67% -1.18% -2.66% -1.87% -3.37% -1.64% -3.21% -1.43%
Max Increase   -3.70% -8.90% -6.35% -4.82% -6.52% -5.94% -6.87% -9.55% -4.71% -7.51% -5.48%
Avg Days to Max Increase   8 7 9 4 10 8 8 15 3 10 6
2021 Contract Condition       Yes Yes              
Action       Yes Yes              
High 131.68 133.79 140.34 139.09 134.99 142.46 152.84 168.58 194.24 209.81 210.77 220.45
Low 120.66 126.33 131.39 127.38 117.64 115.00 137.92 149.43 162.92 184.92 190.61 203.22
Close/Last 126.01 129.73 138.06 133.67 119.18 140.47 152.51 163.97 189.91 193.75 206.67 213.69

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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.