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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 Jun 05, 2024
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 Feb Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 22 28 38 42 42 42 42 42 42 42
Closed Higher   10 11 16 24 28 29 21 24 21 28 20
Exceeded High   10 10 12 21 25 25 18 22 18 19 16
Scenario Percentage   100% 91% 75% 88% 89% 86% 86% 92% 86% 68% 80%
Avg Max Increase   3.57% 2.63% 3.06% 2.78% 3.04% 2.57% 2.76% 2.60% 2.89% 2.63% 1.55%
Max Increase   9.87% 5.99% 5.18% 9.68% 12.83% 7.97% 7.51% 6.39% 8.15% 9.27% 4.37%
Avg Days To Max Increase   14 21 21 15 13 16 14 17 18 11 9
Avg Max Decline   -0.11% -0.22% -0.59% -0.24% -0.64% -0.58% -0.60% -0.68% -1.01% -0.79% -0.26%
Max Decline   -0.40% -0.99% -2.04% -2.11% -2.14% -1.38% -2.27% -2.19% -3.13% -2.57% -1.34%
Avg Days to Max Decline   3 10 11 4 10 9 8 8 9 8 3
2024 Contract Condition                 Yes Yes    
Action                 Yes No    
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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 Feb Jun Jul Aug Sep Oct Nov Dec Jan Feb
Tested Years   19 22 28 38 42 42 42 42 42 42 42
Closed Lower   9 11 11 14 14 13 21 18 20 14 22
Penetrated Low   7 8 6 9 11 10 14 14 12 11 18
Scenario Percentage   78% 73% 55% 64% 79% 77% 67% 78% 60% 79% 82%
Avg Max Decline   3.46% 2.58% 1.87% 2.30% 2.90% 2.34% 1.87% 2.01% 2.49% 1.90% 1.45%
Max Decline   6.91% 5.27% 6.46% 5.88% 8.03% 4.52% 5.11% 4.49% 4.53% 3.53% 2.67%
Avg Days To Max Decline   11 13 10 18 20 15 14 13 20 14 11
Avg Max Increase   -0.20% -0.59% -0.44% -0.67% -0.46% -0.80% -0.51% -0.61% -0.95% -0.85% -0.41%
Max Increase   -0.68% -1.40% -1.45% -2.04% -1.66% -2.89% -1.64% -1.35% -3.95% -1.72% -1.29%
Avg Days to Max Increase   14 6 9 8 10 6 7 3 11 9 4
2024 Contract Condition         Yes Yes Yes Yes     Yes Yes
Action         Yes Yes Yes No     Yes Not Yet
High       114~190 114~100 112~235 111~220 108~240 110~155 113~120 112~265 113~065
Low       113~125 111~260 110~030 107~230 105~215 106~050 109~250 110~260 109~090
Close/Last       113~165 112~180 111~200 108~150 106~145 109~255 112~285 112~105 109~295

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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.