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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for March 10-Year T-Notes(CBOT) as of Jan 01, 2010
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 12 15 21 23 27 27 27 27 27 27 27
Closed Higher 5 7 15 14 19 21 17 15 18 18 14
Exceeded High 5 7 11 13 17 20 16 15 16 13 12
Scenario Percentage 100% 100% 73% 93% 89% 95% 94% 100% 89% 72% 86%
Avg Max Increase 4.42% 2.65% 2.95% 3.27% 3.68% 2.84% 2.84% 2.80% 3.13% 2.76% 1.61%
Max Increase 9.87% 5.99% 5.18% 9.68% 12.83% 7.97% 7.51% 6.39% 8.15% 9.27% 3.99%
Avg Days To Max Increase 11 18 21 15 16 16 14 15 19 11 10
Avg Max Decline -0.09% 0.02% -0.58% -0.21% -0.53% -0.52% -0.61% -0.71% -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 10 4 10 7 8 8 8 7 4
2009 Contract Condition     Yes Yes Yes     Yes Yes    
Action     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 Apr May Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years 12 15 21 23 27 27 27 27 27 27 27
Closed Lower 7 8 5 9 8 6 10 12 9 9 13
Penetrated Low 5 5 2 6 5 4 8 9 7 6 12
Scenario Percentage 71% 62% 40% 67% 62% 67% 80% 75% 78% 67% 92%
Avg Max Decline 3.17% 2.02% 3.53% 2.15% 2.56% 3.10% 1.85% 1.85% 2.45% 1.65% 4.09%
Max Decline 6.91% 5.27% 6.46% 5.88% 8.03% 4.52% 2.99% 4.16% 4.53% 2.13% 11.99%
Avg Days To Max Decline 12 16 9 17 19 13 13 8 25 14 16
Avg Max Increase -0.15% -0.85% -0.33% -0.72% -0.73% -0.99% -0.45% -0.75% -1.02% -1.03% -0.55%
Max Increase -0.49% -1.40% -0.66% -2.04% -1.66% -2.89% -1.64% -1.35% -3.95% -1.72% -1.29%
Avg Days to Max Increase 17 8 4 5 11 6 9 4 11 9 7
2009 Contract Condition Yes Yes       Yes Yes     Yes Yes
Action Yes Yes       Yes No     Yes Yes
High 115~085 112~245 111~255 113~145 114~255 118~000 116~230 121~055 128~225 127~165 124~250
Low 111~170 110~000 108~270 110~230 112~075 113~000 109~250 111~015 120~255 122~110 121~025
Close/Last 112~130 110~080 111~210 112~180 114~160 113~140 111~015 120~310 125~240 122~215 121~225

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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.