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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Russell 2000 Index as of Jan 01, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   36 37 37 37 37 37 37 37 37 37 37
Closed Higher   19 22 26 22 24 23 17 21 19 21 24
Exceeded High   16 20 25 18 21 17 16 19 15 18 23
Scenario Percentage   84% 91% 96% 82% 88% 74% 94% 90% 79% 86% 96%
Avg Max Increase   6.79% 6.86% 6.47% 7.17% 5.65% 6.81% 6.37% 5.45% 7.67% 8.20% 3.65%
Max Increase   18.63% 18.68% 21.06% 16.82% 15.48% 18.80% 15.99% 19.44% 24.42% 16.47% 9.94%
Avg Days To Max Increase   17 19 18 16 18 20 20 15 20 19 18
Avg Max Decline   -0.62% -0.97% -1.69% -1.40% -1.54% -1.35% -1.66% -1.41% -2.86% -0.81% -0.86%
Max Decline   -3.42% -5.77% -5.59% -4.55% -5.59% -6.84% -9.57% -4.22% -16.43% -3.32% -3.78%
Avg Days to Max Decline   8 4 9 5 10 5 8 7 7 8 5
2015 Contract Condition     Yes Yes   Yes Yes       Yes Yes
Action     Yes Yes   Yes No       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 Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   36 37 37 37 37 37 37 37 37 37 37
Closed Lower   17 15 11 15 13 14 20 16 17 16 13
Penetrated Low   10 11 7 10 9 11 14 13 12 10 7
Scenario Percentage   59% 73% 64% 67% 69% 79% 70% 81% 71% 63% 54%
Avg Max Decline   7.88% 8.33% 6.71% 4.98% 9.02% 10.05% 11.23% 9.73% 13.21% 7.33% 3.25%
Max Decline   22.77% 23.07% 18.09% 12.38% 27.36% 23.46% 22.94% 20.26% 45.37% 30.93% 4.97%
Avg Days To Max Decline   13 14 16 16 18 13 20 15 17 14 15
Avg Max Increase   -1.18% -0.96% -0.91% -2.03% -1.24% -0.98% -1.33% -2.49% -0.87% -1.01% -0.69%
Max Increase   -6.31% -2.83% -1.97% -4.89% -2.95% -3.98% -5.70% -11.54% -2.52% -2.51% -2.83%
Avg Days to Max Increase   6 5 6 7 11 5 8 10 5 6 4
2015 Contract Condition   Yes     Yes     Yes Yes Yes    
Action   No     Yes     Yes Yes No    
High 1221.45 1212.80 1239.65 1268.15 1278.65 1261.00 1296.00 1275.90 1243.15 1194.00 1178.80 1204.85
Low 1134.50 1151.30 1153.80 1206.10 1216.10 1211.15 1238.65 1205.20 1102.60 1078.65 1080.60 1140.75
Close/Last 1204.70 1165.40 1233.35 1252.75 1220.15 1246.55 1253.95 1238.70 1159.45 1100.70 1161.85 1198.10

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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.