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 March 10-Year T-Notes(CBOT) as of Jan 01, 2009
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Feb Feb May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   11 14 20 22 26 26 26 26 26 26 26
Closed Higher   5 7 14 13 18 21 17 14 17 18 14
Exceeded High   5 7 10 12 16 20 16 14 16 13 12
Scenario Percentage   100% 100% 71% 92% 89% 95% 94% 100% 94% 72% 86%
Avg Max Increase   4.42% 2.65% 2.96% 3.14% 3.72% 2.84% 2.84% 2.54% 3.13% 2.76% 1.61%
Max Increase   9.87% 5.99% 5.18% 9.68% 12.83% 7.97% 7.51% 5.26% 8.15% 9.27% 3.99%
Avg Days To Max Increase   11 18 20 15 16 16 14 15 19 11 10
Avg Max Decline   -0.09% 0.02% -0.56% -0.20% -0.56% -0.52% -0.61% -0.75% -1.07% -0.68% -0.30%
Max Decline   -0.35% -0.99% -2.04% -0.88% -1.70% -1.38% -2.27% -2.19% -3.13% -1.47% -1.34%
Avg Days to Max Decline   4 7 9 4 11 7 8 8 8 7 4
2008 Contract Condition         Yes Yes Yes Yes Yes Yes Yes Yes
Action         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 Feb Feb May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   11 14 20 22 26 26 26 26 26 26 26
Closed Lower   6 7 5 9 8 5 9 12 9 8 12
Penetrated Low   4 4 2 6 5 3 8 9 7 5 12
Scenario Percentage   67% 57% 40% 67% 63% 60% 89% 75% 78% 63% 100%
Avg Max Decline   3.17% 2.20% 3.53% 2.15% 2.56% 3.06% 1.85% 1.85% 2.45% 1.72% 1.41%
Max Decline   6.91% 5.27% 6.46% 5.88% 8.03% 4.52% 2.99% 4.16% 4.53% 2.13% 2.52%
Avg Days To Max Decline   12 17 9 17 19 12 13 8 25 11 11
Avg Max Increase   -0.10% -0.71% -0.33% -0.72% -0.73% -0.36% -0.45% -0.75% -1.02% -0.90% -0.44%
Max Increase   -0.49% -1.37% -0.66% -2.04% -1.66% -0.63% -1.64% -1.35% -3.95% -1.61% -1.29%
Avg Days to Max Increase   19 9 4 5 11 6 9 4 11 7 4
2008 Contract Condition       Yes                
Action       No                
High     108~055 106~000 107~060 109~110 110~190 110~245 114~090 114~105 119~050 118~265
Low     106~105 103~200 104~000 106~150 108~000 107~260 109~135 111~160 113~020 115~035
Close/Last     106~105 105~085 107~010 108~240 108~255 109~205 113~065 113~125 116~230 118~220

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.