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In order to study seasonality you should use a monthly
bar chart and make statistics on monthly tops and
bottoms.
DEFINITIONS
1. When a monthly bar breaks decisively the bottom of
the prior month(*), the prior month is a top (eg March
bottom breaks the low of Feb)
2. Then you would add 1 to March Counter for Tops.
And start over again.
At the end you should obtain 3 arrays, 12 integers
each. One integer for each month.
Array 1 -- number of TOPS occurred in each month
Array 2 -- number of BOTS occurred in each month
Array 3 -- number of CHANGE in TREND occuured in each
month = ARRAY 1+ ARRAY 2.
Array 1 to 3 are your seasonality study.
TIME SPAN
You should span your statistics over the whole range
of data, and also consider lesser period of, say
6years each.
You should normally see that the whole range
statistics has similar tops/bottoms distribution as
the shorter range ones.
(*)You could change this definition and requires the
the market declines two consecutive months (breaking
two consecutive times the bottom of the prior month)
before you declare it top.
IMPLEMENTATION IN AB
Building and plotting the arrays in Amibroker is easy.
Recognizing tops and bottoms could add complexity to
the algorhythm because the market will sometimes be in
a narrow range where you cannot directly apply the
rule given above.
REFERENCE
All above comes from Gann. You might find examples of
this in "How To Make Profits In Commodities"
Regards
Luigi
----- Original Message -----
From: "Moneycat" <moneycat@xxxxxxxxx>
To: amibroker@xxxxxxxxxxxxxxx
Date: Thu, 9 Mar 2006 12:24:29 +0100
Subject: Re: [amibroker] Re: Seasonality
> Alex,
>
> Nice work you have done on this topic.
>
> In my opinion 5 years are not enough to express
meaningful seasonal
> patterns: MRCI does it with at least 15 years. So I
took your code and did a
> little improvement by adding a second plot of a 15
years long study. You can
> find it below.
>
> What strikes me is that the overall trend tends to
hide seasonal patterns.
> If you consider oil futures in the last years the
upside trend also affects
> the seasonal plots, which makes it difficult to spot
seasonal tops or
> bottoms.
>
> A workaround could be to use instead of closing
prices "C", the rate of
> change "roc( C , 1 )".
>
> alberto
>
>
>
>
> // days per year
>
> dp_y = 252;
>
> // day's avg 5yrs and 15 yrs Close
>
> ac5y =
>
(Ref(C,-dp_y*5)+Ref(C,-dp_y*4)+Ref(C,-dp_y*3)+Ref(C,-dp_y*2)+Ref(C,-dp_y))/5
> ;
>
> ac15y =
>
(Ref(C,-dp_y*15)+Ref(C,-dp_y*14)+Ref(C,-dp_y*13)+Ref(C,-dp_y*12)+Ref(C,-dp_y
> *11)+
>
Ref(C,-dp_y*10)+Ref(C,-dp_y*9)+Ref(C,-dp_y*8)+Ref(C,-dp_y*7)+Ref(C,-dp_y*6)+
>
Ref(C,-dp_y*5)+Ref(C,-dp_y*4)+Ref(C,-dp_y*3)+Ref(C,-dp_y*2)+Ref(C,-dp_y))/5;
>
> // plot price and seasonality overlay
>
> Plot(C, "", colorBlack, styleBar);
>
> Plot(ac5y, "", colorTurquoise, styleOwnScale |
styleThick);
>
> Plot(ac15y, "", colorViolet, styleOwnScale |
styleThick);
>
>
> SetChartOptions(0, chartShowDates);
>
>
>
> Please note that this group is for discussion
between users only.
>
> To get support from AmiBroker please send an e-mail
directly to
> SUPPORT {at} amibroker.com
>
> For other support material please check also:
> http://www.amibroker.com/support.html
>
>
>
>
>
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