Moore Research Center, Inc.

  • Increase font size
  • Default font size
  • Decrease font size
Home MRCI Online
Print
New Windows

MRCI's Scenario Study

MRCI Logo
MRCI's ScenarioSM Study
ScenarioSM Study for June S & P 500(CME) 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 22 25 25 25 25 25 25 25 25 25 26
Closed Higher 9 16 11 16 18 19 18 15 17 15 17
Exceeded High 9 11 10 14 18 18 16 12 14 14 13
Scenario Percentage 100% 69% 91% 88% 100% 95% 89% 80% 82% 93% 76%
Avg Max Increase 3.16% 5.47% 6.16% 7.46% 5.23% 5.57% 5.87% 4.99% 6.12% 4.40% 2.17%
Max Increase 5.86% 19.35% 16.77% 13.74% 13.76% 12.67% 13.16% 9.51% 14.04% 11.80% 5.51%
Avg Days To Max Increase 18 14 21 20 16 16 17 13 18 9 6
Avg Max Decline -1.31% -1.25% -2.74% -1.22% -1.86% -2.25% -1.44% -0.81% -1.72% -1.57% -0.33%
Max Decline -3.05% -3.31% -9.21% -5.77% -5.55% -6.34% -5.18% -1.92% -5.91% -4.79% -1.32%
Avg Days to Max Decline 5 8 9 7 15 6 5 4 9 4 1
2007 Contract Condition Yes Yes Yes Yes Yes Yes Yes   Yes Yes Yes
Action Yes Yes Yes Yes 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 Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr May
Tested Years 22 25 25 25 25 25 25 25 25 25 26
Closed Lower 13 9 14 8 7 6 7 10 8 10 8
Penetrated Low 9 8 8 3 5 3 6 5 7 4 7
Scenario Percentage 69% 89% 57% 38% 71% 50% 86% 50% 88% 40% 88%
Avg Max Decline 7.84% 7.40% 10.41% 6.33% 3.03% 8.68% 4.82% 6.77% 3.31% 3.30% 19.84%
Max Decline 21.10% 15.32% 42.85% 13.01% 5.17% 9.07% 7.75% 13.27% 4.41% 6.93% 36.93%
Avg Days To Max Decline 17 16 19 16 9 19 23 16 10 10 12
Avg Max Increase -1.90% -3.72% -3.33% -1.83% -1.77% -4.27% -1.86% -2.21% -1.63% -1.86% -2.49%
Max Increase -6.51% -12.09% -6.02% -2.52% -5.01% -6.30% -4.08% -6.13% -5.66% -2.96% -4.70%
Avg Days to Max Increase 8 13 12 14 4 18 10 11 6 7 5
2007 Contract Condition               Yes      
Action               Yes      
High 1323.40 1342.50 1371.20 1419.00 1434.40 1455.80 1459.50 1477.50 1451.00 1504.80 1537.70
Low 1266.70 1299.00 1324.80 1359.40 1390.70 1412.80 1426.00 1402.00 1375.90 1426.00 1482.20
Close/Last 1315.10 1339.40 1367.90 1406.90 1426.80 1441.10 1456.20 1421.50 1431.20 1488.40 1532.90

Banner

Login

Main Menu

MRCI Online

Free Links

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.