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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 Jun 23, 2023
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 37 39 41 41 41 41 41 41
Closed Higher   12 8 9 18 20 25 27 28 28 21 23
Exceeded High   9 7 5 16 18 20 25 25 24 17 18
Scenario Percentage   75% 88% 56% 89% 90% 80% 93% 89% 86% 81% 78%
Avg Max Increase   2.79% 1.82% 4.50% 3.33% 2.64% 3.30% 3.09% 3.11% 2.65% 2.56% 1.60%
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 15 20 17 15 13 16 7 10
Avg Max Decline   -0.73% -0.70% -0.30% -0.41% -0.55% -0.61% -0.56% -0.71% -0.63% -0.59% -0.35%
Max Decline   -2.70% -2.30% -0.93% -1.27% -4.32% -2.26% -2.27% -2.14% -1.40% -1.32% -1.15%
Avg Days to Max Decline   8 9 6 8 8 10 5 8 9 6 2
2022 Contract Condition           Yes   Yes       Yes
Action           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 37 39 41 41 41 41 41 41
Closed Lower   4 12 18 19 19 16 14 13 13 20 18
Penetrated Low   4 9 13 15 11 8 9 9 10 12 11
Scenario Percentage   100% 75% 72% 79% 58% 50% 64% 69% 77% 60% 61%
Avg Max Decline   1.35% 2.63% 2.88% 3.35% 2.59% 2.66% 2.06% 2.75% 2.17% 1.70% 1.68%
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 15 14 11 14 20 15 11 12
Avg Max Increase   -0.60% -0.22% -0.49% -0.15% -0.41% -0.56% -0.81% -0.57% -0.87% -0.51% -0.47%
Max Increase   -1.37% -1.12% -1.35% -1.51% -1.39% -1.60% -2.86% -1.65% -3.00% -1.50% -1.13%
Avg Days to Max Increase   6 8 11 10 6 9 8 9 5 6 4
2022 Contract Condition         Yes   Yes   Yes Yes Yes  
Action         Yes   No   Yes Yes Not Yet  
High       124~205 122~025 120~170 119~140 121~125 122~025 116~275 113~300 113~260
Low       121~105 118~075 116~250 114~060 117~110 116~125 110~190 108~265 109~105
Close/Last       122~230 118~235 119~110 118~125 121~045 116~290 112~020 110~190 113~070

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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.