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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Soybean Meal(CBOT) as of Jan 01, 2008
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
Tested Years 36 43 45 45 45 45 45 45 45 45 45
Closed Higher 18 18 28 20 22 23 22 23 18 23 24
Exceeded High 13 10 21 16 18 14 15 16 16 16 12
Scenario Percentage 72% 56% 75% 80% 82% 61% 68% 70% 89% 70% 50%
Avg Max Increase 13.42% 11.34% 8.86% 11.58% 9.12% 9.81% 11.10% 11.25% 13.13% 8.48% 6.90%
Max Increase 37.18% 23.73% 31.71% 22.51% 40.91% 46.01% 47.72% 31.15% 36.71% 23.38% 21.87%
Avg Days To Max Increase 13 15 16 15 18 18 22 21 20 13 9
Avg Max Decline -0.50% -2.26% -1.12% -1.74% -2.63% -1.41% -2.36% -2.31% -3.39% -1.66% -0.87%
Max Decline -11.10% -12.10% -3.43% -5.13% -9.93% -5.80% -9.58% -8.08% -19.93% -5.37% -3.34%
Avg Days to Max Decline 4 7 7 6 10 6 8 8 11 9 2
2007 Contract Condition Yes     Yes Yes Yes   Yes Yes    
Action No     Yes Yes Yes   Yes No    
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 Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years 36 43 45 45 45 45 45 45 45 45 45
Closed Lower 18 25 17 25 23 22 23 22 27 22 21
Penetrated Low 18 18 12 21 16 14 17 22 22 15 15
Scenario Percentage 100% 72% 71% 84% 70% 64% 74% 100% 81% 68% 71%
Avg Max Decline 8.44% 5.19% 6.82% 5.95% 6.70% 8.13% 9.11% 6.00% 7.14% 6.08% 5.43%
Max Decline 24.02% 13.91% 29.47% 17.87% 21.87% 31.95% 29.17% 16.21% 35.00% 30.37% 26.90%
Avg Days To Max Decline 14 14 16 15 16 19 19 16 16 9 9
Avg Max Increase -3.85% -1.42% -1.89% -2.17% -2.02% -2.74% -2.23% -2.06% -2.27% -1.12% -2.39%
Max Increase -15.00% -7.00% -4.31% -6.01% -7.59% -7.92% -9.97% -5.73% -8.60% -3.78% -10.66%
Avg Days to Max Increase 8 6 7 12 8 8 11 8 7 5 4
2007 Contract Condition   Yes Yes       Yes     Yes Yes
Action   Yes Yes       No     Yes Yes
High 191.50 187.00 176.00 174.70 195.00 206.80 201.50 222.00 240.60 231.70 219.80
Low 178.70 172.70 166.80 164.70 168.00 191.70 190.00 193.00 212.00 207.80 190.80
Close/Last 184.20 175.00 168.00 168.80 193.40 201.70 199.70 212.50 230.70 211.80 192.80

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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.