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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for October Sugar #11(ICE) 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 25 23 23 19 18 18 20 27 23 18
Exceeded High   16 19 20 19 15 17 12 18 22 20 14
Scenario Percentage   67% 76% 87% 83% 79% 94% 67% 90% 81% 87% 78%
Avg Max Increase   9.62% 12.32% 13.59% 12.78% 10.95% 12.47% 20.55% 17.75% 13.55% 10.34% 13.94%
Max Increase   27.99% 43.27% 73.08% 38.68% 40.03% 67.91% 55.89% 65.50% 37.14% 38.83% 37.57%
Avg Days To Max Increase   15 15 15 16 16 19 21 21 16 13 18
Avg Max Decline   -3.34% -2.45% -2.59% -2.98% -1.39% -4.46% -2.09% -2.54% -4.86% -4.56% -1.69%
Max Decline   -7.70% -8.54% -10.66% -8.60% -7.38% -13.99% -7.50% -16.61% -18.81% -11.56% -6.27%
Avg Days to Max Decline   8 9 6 9 8 9 3 7 7 11 4
2021 Contract Condition     Yes Yes Yes Yes   Yes Yes Yes Yes Yes
Action     Yes Yes Yes Yes   Yes Yes Yes Yes Not Yet
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   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   20 20 21 22 26 27 27 25 18 21 27
Penetrated Low   15 15 19 16 21 23 21 21 14 15 20
Scenario Percentage   75% 75% 90% 73% 81% 85% 78% 84% 78% 71% 74%
Avg Max Decline   5.84% 8.71% 10.30% 12.18% 16.11% 13.66% 12.33% 13.89% 18.93% 16.87% 11.35%
Max Decline   13.89% 20.90% 21.13% 23.93% 32.58% 29.93% 29.56% 29.16% 30.11% 34.94% 17.80%
Avg Days To Max Decline   15 16 19 21 24 21 16 20 20 24 22
Avg Max Increase   -3.32% -1.65% -3.43% -2.79% -3.15% -2.96% -2.54% -2.97% -3.75% -5.10% -3.30%
Max Increase   -10.34% -5.83% -17.43% -10.79% -9.09% -13.18% -10.78% -9.52% -21.36% -11.85% -10.36%
Avg Days to Max Increase   13 7 11 6 6 8 5 11 7 11 8
2021 Contract Condition   Yes         Yes          
Action   No         Yes          
High 12.95 13.41 13.66 14.10 14.85 16.27 15.95 17.66 18.23 17.94 18.81 20.37
Low 12.22 12.52 12.60 13.22 14.00 14.50 14.71 14.69 16.65 16.44 16.73 17.74
Close/Last 12.78 12.68 13.25 14.04 14.45 15.60 14.78 16.86 17.39 17.89 17.91 19.84

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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.