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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Wheat(CBOT) as of Jan 21, 2022
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   44 45 45 45 45 45 45 45 45 45 45
Closed Higher   27 19 22 24 20 17 23 17 17 21 23
Exceeded High   17 14 18 17 13 13 17 11 11 14 11
Scenario Percentage   63% 74% 82% 71% 65% 76% 74% 65% 65% 67% 48%
Avg Max Increase   6.20% 8.81% 10.57% 9.33% 13.31% 10.67% 12.47% 15.07% 19.84% 13.94% 6.08%
Max Increase   17.88% 20.85% 60.26% 45.64% 35.48% 33.54% 42.22% 33.42% 75.12% 40.91% 19.81%
Avg Days To Max Increase   16 19 15 14 18 17 13 19 16 12 7
Avg Max Decline   -2.40% -3.79% -2.45% -2.01% -4.40% -3.46% -2.54% -2.40% -3.25% -2.46% -0.16%
Max Decline   -10.90% -14.23% -8.92% -7.48% -13.13% -6.84% -9.37% -8.03% -10.30% -8.14% -1.61%
Avg Days to Max Decline   12 15 10 10 12 12 5 8 6 6 1
2021 Contract Condition   Yes   Yes Yes Yes   Yes   Yes Yes Yes
Action   Yes   Yes No 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 Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   44 45 45 45 45 45 45 45 45 45 45
Closed Lower   17 26 22 21 25 28 22 28 28 24 22
Penetrated Low   12 22 15 20 22 22 18 24 24 20 8
Scenario Percentage   71% 85% 68% 95% 88% 79% 82% 86% 86% 83% 36%
Avg Max Decline   6.17% 5.87% 6.28% 6.52% 6.51% 6.84% 7.03% 10.87% 9.43% 7.78% 5.38%
Max Decline   13.24% 16.65% 12.31% 13.35% 17.06% 21.09% 14.72% 28.85% 20.69% 19.50% 10.43%
Avg Days To Max Decline   14 16 18 15 18 18 19 21 19 16 7
Avg Max Increase   -1.97% -1.48% -2.50% -2.12% -3.00% -3.37% -3.61% -3.26% -2.63% -4.41% -0.22%
Max Increase   -8.09% -4.64% -7.93% -7.03% -17.63% -10.72% -24.72% -12.25% -9.69% -18.95% -2.84%
Avg Days to Max Increase   5 9 14 10 14 12 9 9 6 8 2
2021 Contract Condition     Yes       Yes   Yes      
Action     Yes       No   Yes      
High 595.50 625.75 620.25 632.00 669.50 667.75 653.75 766.50 767.75 708.50 718.00 774.75
Low 553.25 574.50 589.00 575.25 616.50 616.50 594.00 603.75 642.75 632.25 609.50 690.25
Close/Last 586.75 594.75 591.50 630.25 641.50 646.25 617.25 732.25 667.25 679.50 703.75 706.75

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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.