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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October RBOB Gasoline(NYM) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   4 14 15 17 19 22 24 24 24 24 24
Closed Higher   2 6 8 8 12 17 17 12 12 15 16
Exceeded High   2 5 7 7 11 17 12 10 12 14 13
Scenario Percentage   100% 83% 88% 88% 92% 100% 71% 83% 100% 93% 81%
Avg Max Increase   8.68% 11.19% 7.37% 9.76% 12.57% 9.15% 9.09% 7.76% 13.09% 19.25% 9.87%
Max Increase   10.38% 20.39% 16.69% 21.39% 23.01% 21.67% 28.14% 13.59% 55.16% 77.28% 23.35%
Avg Days To Max Increase   28 14 17 15 17 16 16 19 19 16 15
Avg Max Decline   -2.30% -0.42% -1.26% -1.66% -1.56% -2.68% -2.04% -3.29% -2.89% -2.27% -1.05%
Max Decline   -3.21% -1.88% -7.27% -5.69% -6.42% -9.22% -9.97% -6.60% -12.56% -11.37% -5.49%
Avg Days to Max Decline   30 11 10 11 9 7 9 13 13 11 4
2008 Contract Condition   Yes   Yes   Yes   Yes Yes Yes    
Action   Yes   Yes   Yes   Yes Yes Yes    
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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   4 14 15 17 19 22 24 24 24 24 24
Closed Lower   2 8 7 9 7 5 7 12 12 9 8
Penetrated Low   2 7 4 5 1 2 4 7 9 7 4
Scenario Percentage   100% 88% 57% 56% 14% 40% 57% 58% 75% 78% 50%
Avg Max Decline   12.70% 10.65% 12.62% 7.35% 8.53% 6.78% 6.54% 11.15% 7.88% 8.40% 14.00%
Max Decline   19.91% 25.34% 26.11% 10.58% 8.53% 9.93% 8.98% 17.41% 20.74% 21.75% 18.20%
Avg Days To Max Decline   8 18 16 17 17 24 16 14 14 12 17
Avg Max Increase   -0.67% -0.31% -0.89% -1.05% -0.25% 0.99% -3.55% -0.36% -1.95% -1.68% -1.59%
Max Increase   -2.59% -6.92% -2.71% -3.30% -0.25% -0.66% -7.04% -1.11% -7.84% -5.05% -3.71%
Avg Days to Max Increase   15 8 5 3 2 23 18 2 4 3 1
2008 Contract Condition     Yes   Yes   Yes       Yes Yes
Action     Yes   No   No       Yes Yes
High 205.33 225.86 236.00 241.65 246.99 254.13 258.27 284.82 327.21 347.29 354.32 310.07
Low 191.91 198.50 219.47 218.60 221.20 223.24 237.25 242.35 264.35 296.49 289.05 270.14
Close/Last 201.86 225.86 220.61 238.53 233.37 251.89 245.06 271.03 311.92 338.91 298.39 285.42

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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.