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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for December 10-Year T-Notes(CBOT) as of Jan 01, 2018
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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 20 27 32 34 36 36 36 36 36 36
Closed Higher   12 8 9 16 15 22 24 26 27 21 19
Exceeded High   9 7 5 14 14 17 22 24 24 17 15
Scenario Percentage   75% 88% 56% 88% 93% 77% 92% 92% 89% 81% 79%
Avg Max Increase   2.79% 1.82% 4.50% 3.67% 2.92% 3.52% 3.43% 3.22% 2.65% 2.56% 1.69%
Max Increase   12.00% 6.46% 8.72% 10.35% 6.31% 8.15% 10.09% 13.27% 8.27% 6.50% 6.43%
Avg Days To Max Increase   10 15 22 14 20 19 16 14 16 7 10
Avg Max Decline   -0.73% -0.70% -0.30% -0.35% -0.25% -0.62% -0.59% -0.74% -0.63% -0.59% -0.39%
Max Decline   -2.70% -2.30% -0.93% -1.17% -1.03% -2.26% -2.27% -2.14% -1.40% -1.32% -1.15%
Avg Days to Max Decline   8 9 6 6 9 10 5 8 9 6 2
2017 Contract Condition         Yes Yes   Yes Yes      
Action         Yes Yes   Yes Yes      
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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 Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   16 20 27 32 34 36 36 36 36 36 36
Closed Lower   4 12 18 16 19 14 12 10 9 15 17
Penetrated Low   4 9 13 13 11 8 8 6 6 9 11
Scenario Percentage   100% 75% 72% 81% 58% 57% 67% 60% 67% 60% 65%
Avg Max Decline   1.35% 2.63% 2.88% 3.50% 2.59% 2.66% 2.22% 2.40% 2.39% 1.89% 1.65%
Max Decline   2.51% 6.28% 9.03% 6.70% 5.16% 7.37% 5.91% 8.15% 4.65% 4.91% 4.24%
Avg Days To Max Decline   12 17 15 16 14 11 13 18 16 11 12
Avg Max Increase   -0.60% -0.22% -0.49% -0.05% -0.41% -0.56% -0.76% -0.74% -0.85% -0.47% -0.47%
Max Increase   -1.37% -1.12% -1.35% -0.67% -1.39% -1.60% -2.86% -1.65% -3.00% -1.50% -1.13%
Avg Days to Max Increase   6 8 11 9 6 9 6 12 6 6 4
2017 Contract Condition             Yes     Yes Yes Yes
Action             Yes     Yes Yes Yes
High       124~050 126~065 125~315 126~245 126~020 127~105 127~285 125~255 125~150
Low       123~265 124~135 124~050 125~045 124~140 125~105 125~020 124~060 124~060
Close/Last       124~015 125~125 125~315 125~060 125~175 126~315 125~100 124~300 124~100

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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.