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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September 30-Year T-Bonds(CBOT) as of Jan 01, 2014
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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 36 36 36 36 36 36 36 36
Closed Higher   15 25 18 19 18 13 17 16 25 20 22
Exceeded High   14 21 17 10 13 8 16 16 18 18 19
Scenario Percentage   93% 84% 94% 53% 72% 62% 94% 100% 72% 90% 86%
Avg Max Increase   4.94% 3.77% 3.98% 3.56% 3.63% 7.76% 6.11% 4.45% 4.88% 4.76% 2.39%
Max Increase   12.38% 11.29% 14.46% 6.69% 12.15% 22.19% 13.83% 9.25% 12.19% 11.76% 5.55%
Avg Days To Max Increase   16 15 17 14 18 17 14 18 18 9 10
Avg Max Decline   -0.65% -1.26% -1.56% -0.63% -1.42% -0.98% -0.84% -0.70% -1.22% -0.69% -0.70%
Max Decline   -2.49% -5.56% -5.39% -2.26% -2.74% -3.15% -2.47% -2.15% -4.58% -3.52% -1.95%
Avg Days to Max Decline   5 8 8 5 12 4 7 4 10 4 2
2013 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 Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   29 31 33 36 36 36 36 36 36 36 36
Closed Lower   14 6 14 17 18 23 18 20 11 16 14
Penetrated Low   9 2 10 13 16 16 16 12 6 12 8
Scenario Percentage   64% 33% 71% 76% 89% 70% 89% 60% 55% 75% 57%
Avg Max Decline   2.16% 3.65% 3.87% 4.66% 3.38% 4.04% 4.23% 3.85% 5.23% 3.59% 2.75%
Max Decline   3.81% 4.26% 7.43% 15.40% 7.67% 11.64% 9.68% 6.81% 11.50% 8.04% 5.94%
Avg Days To Max Decline   14 24 22 17 21 17 15 14 18 13 11
Avg Max Increase   -1.27% -2.38% -1.07% -0.69% -1.55% -1.14% -0.68% -1.04% -1.21% -1.90% -0.48%
Max Increase   -4.32% -3.09% -3.84% -2.67% -6.86% -5.19% -2.78% -3.05% -3.63% -5.12% -1.18%
Avg Days to Max Increase   14 22 12 12 12 12 4 4 7 9 2
2013 Contract Condition         Yes       Yes Yes Yes Yes
Action         Yes       Yes Yes Yes Yes
High       146~300 146~020 143~220 143~300 148~130 148~280 142~150 136~270 135~020
Low       145~080 141~170 141~030 140~000 143~090 138~300 133~040 132~020 129~280
Close/Last       146~020 141~300 143~080 143~170 147~200 140~010 135~270 134~020 133~110

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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.