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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March Swiss Franc(CME) as of Jan 01, 2014
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   29 33 35 38 38 38 38 38 38 38 38
Closed Higher   9 15 16 17 20 26 22 18 21 13 20
Exceeded High   8 10 13 15 18 23 14 14 16 11 9
Scenario Percentage   89% 67% 81% 88% 90% 88% 64% 78% 76% 85% 45%
Avg Max Increase   3.90% 5.74% 7.11% 6.44% 5.73% 4.32% 5.11% 5.53% 4.09% 5.63% 3.46%
Max Increase   8.78% 11.71% 18.21% 18.60% 12.10% 11.46% 12.15% 10.90% 10.55% 13.30% 9.13%
Avg Days To Max Increase   17 19 19 21 17 18 20 17 15 14 10
Avg Max Decline   -1.27% -0.54% -0.68% -1.64% -1.13% -1.35% -0.81% -1.23% -1.74% -1.01% -0.80%
Max Decline   -5.72% -2.32% -2.02% -7.22% -5.77% -4.34% -1.92% -4.09% -4.56% -2.70% -2.07%
Avg Days to Max Decline   9 5 6 13 7 9 4 7 7 8 3
2013 Contract Condition       Yes   Yes Yes Yes Yes Yes Yes  
Action       No   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 Mar Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   29 33 35 38 38 38 38 38 38 38 38
Closed Lower   19 18 19 21 18 12 16 20 17 25 18
Penetrated Low   15 13 16 17 11 10 13 16 16 21 13
Scenario Percentage   79% 72% 84% 81% 61% 83% 81% 80% 94% 84% 72%
Avg Max Decline   4.62% 4.02% 3.95% 3.10% 4.86% 4.07% 3.84% 4.38% 5.98% 3.88% 2.60%
Max Decline   9.60% 9.91% 7.87% 8.04% 13.62% 9.10% 6.74% 11.72% 12.52% 9.71% 7.23%
Avg Days To Max Decline   17 16 15 15 17 16 15 17 16 9 10
Avg Max Increase   -0.66% -1.35% -0.18% -1.32% -1.32% -2.18% -0.87% -1.27% -1.21% -1.19% -0.70%
Max Increase   -2.32% -3.86% -2.84% -4.67% -3.30% -5.54% -3.16% -5.35% -4.51% -3.76% -2.34%
Avg Days to Max Increase   7 13 8 10 5 11 7 10 6 6 3
2013 Contract Condition   Yes Yes   Yes             Yes
Action   Yes Yes   No             Yes
High 111.55 111.37 110.84 106.53 106.19 105.26 108.18 108.74 108.42 110.26 110.24 110.90
Low 108.13 109.47 103.85 103.85 101.15 101.98 105.10 106.47 105.55 106.78 106.57 106.69
Close/Last 111.37 110.84 103.85 106.19 103.18 105.26 106.67 107.62 108.03 109.48 109.99 106.77

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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.