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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for May Wheat(CBOT) as of Dec 30, 2011
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   37 44 45 45 45 45 45 45 45 45 45
Closed Higher   11 24 25 26 26 21 21 19 14 18 20
Exceeded High   7 20 19 21 18 14 14 16 9 13 9
Scenario Percentage   64% 83% 76% 81% 69% 67% 67% 84% 64% 72% 45%
Avg Max Increase   11.17% 15.48% 9.61% 7.74% 6.91% 9.73% 11.37% 9.42% 10.96% 10.04% 5.78%
Max Increase   21.60% 57.45% 24.15% 16.30% 22.64% 28.56% 51.12% 42.73% 44.48% 43.62% 12.46%
Avg Days To Max Increase   17 20 14 16 15 17 18 18 21 13 7
Avg Max Decline   -2.07% -2.53% -2.06% -2.03% -2.35% -3.37% -2.92% -2.71% -4.00% -2.90% -1.68%
Max Decline   -6.03% -12.75% -9.58% -12.20% -12.26% -15.75% -6.26% -9.39% -15.57% -9.45% -8.54%
Avg Days to Max Decline   7 6 9 8 9 10 13 10 13 9 2
2011 Contract Condition     Yes   Yes Yes   Yes Yes     Yes
Action     Yes   Yes Yes   Yes Yes     Not Yet
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 May Jun Jul Aug Sep Oct Nov Dec Jan Feb Mar Apr
Tested Years   37 44 45 45 45 45 45 45 45 45 45
Closed Lower   26 20 20 19 19 24 23 26 31 27 24
Penetrated Low   23 17 14 14 15 21 18 23 23 19 11
Scenario Percentage   88% 85% 70% 74% 79% 88% 78% 88% 74% 70% 46%
Avg Max Decline   7.24% 7.49% 8.85% 9.86% 7.92% 8.22% 6.82% 7.32% 8.35% 7.05% 4.29%
Max Decline   15.21% 19.37% 36.51% 26.11% 18.08% 29.41% 24.92% 14.16% 19.71% 22.13% 12.50%
Avg Days To Max Decline   18 18 14 16 15 19 16 19 20 12 4
Avg Max Increase   -2.15% -3.41% -2.50% -2.06% -2.37% -2.23% -2.88% -3.00% -2.64% -3.21% -0.30%
Max Increase   -8.15% -17.37% -11.49% -6.94% -8.76% -8.10% -8.22% -8.68% -7.61% -11.86% -1.07%
Avg Days to Max Increase   8 10 7 8 4 12 9 11 11 7 1
2011 Contract Condition   Yes   Yes     Yes     Yes Yes  
Action   No   Yes     No     Yes Not Yet  
High 599.00 562.75 715.00 828.25 791.00 784.50 823.25 831.75 891.00 925.50 837.50 830.00
Low 550.00 521.75 548.00 701.50 696.25 691.75 680.00 717.00 786.00 756.75 656.00 730.00
Close/Last 551.50 549.00 714.50 709.50 718.75 775.00 715.75 820.75 870.75 817.00 763.25 769.25

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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.