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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(CBOT) as of Dec 30, 2016
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Higher   26 20 22 22 21 17 22 17 16 22 24
Exceeded High   17 15 16 17 13 13 16 12 11 14 11
Scenario Percentage   65% 75% 73% 77% 62% 76% 73% 71% 69% 64% 46%
Avg Max Increase   7.63% 10.80% 12.19% 10.15% 12.59% 10.67% 14.25% 16.47% 19.91% 19.46% 6.56%
Max Increase   29.85% 27.85% 60.26% 45.64% 35.48% 33.54% 42.22% 33.42% 75.12% 49.18% 19.81%
Avg Days To Max Increase   14 18 15 16 19 17 14 18 18 15 8
Avg Max Decline   -2.18% -3.27% -2.66% -2.00% -4.74% -3.46% -2.43% -2.82% -2.52% -1.74% -0.08%
Max Decline   -10.90% -14.23% -8.92% -7.48% -13.13% -6.84% -9.37% -9.76% -8.89% -5.44% -1.61%
Avg Days to Max Decline   9 13 12 10 13 12 4 9 6 5 1
2016 Contract Condition   Yes     Yes   Yes Yes        
Action   No     No   Yes Yes        
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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   41 45 45 45 45 45 45 45 45 45 45
Closed Lower   15 25 22 23 24 28 23 28 29 23 21
Penetrated Low   10 20 15 22 21 23 19 24 23 19 7
Scenario Percentage   67% 80% 68% 96% 88% 82% 83% 86% 79% 83% 33%
Avg Max Decline   6.45% 7.45% 6.95% 6.58% 6.37% 6.99% 7.44% 10.42% 9.58% 7.40% 5.73%
Max Decline   13.24% 25.36% 20.09% 13.35% 17.06% 21.09% 14.72% 28.85% 20.69% 19.50% 10.43%
Avg Days To Max Decline   13 18 18 15 17 17 18 21 19 17 6
Avg Max Increase   -1.92% -1.46% -2.36% -2.42% -2.96% -3.59% -3.31% -2.99% -2.61% -4.39% -0.71%
Max Increase   -8.09% -4.64% -7.93% -8.05% -17.63% -10.72% -24.72% -12.25% -9.69% -18.95% -2.84%
Avg Days to Max Increase   5 9 13 10 13 13 9 9 6 9 2
2016 Contract Condition     Yes Yes   Yes     Yes Yes Yes Yes
Action     Yes Yes   Yes     Yes Yes Yes Not Yet
High 537.25 552.50 540.50 519.50 507.25 500.50 496.00 526.75 503.25 533.75 451.75 432.50
Low 493.00 506.00 499.00 490.50 479.00 466.75 460.00 463.00 465.50 436.00 403.50 359.50
Close/Last 535.00 538.00 504.25 492.25 499.50 470.00 490.25 498.25 475.50 445.50 407.75 361.00

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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.