[amibroker] Re: Seasonality Plot

["Mike" <sfclimbers@xxxxxxxxx>]

Richard,

I suspect that ROC(C, 1) would not reveal much. It might be more interesting to plot a running ROC since the start of the respective years.

I've altered the code to show running year to date rate of return, including vertical bars delineating the first bar of each new year. You will notice that at each year goal post, all values start over at zero (plus or minus a bar or two due to 252 being an imprecise measure of a year).

Hope that helps.

years = Param("Years", 3, 1, 15, 1); newYear = Year() != Ref(Year(), -1); avgROC = 0;
// Create dynamic variables for each year (excluding current) for (y = 1; y <= years; y++) {    initialValue = IIf(newYear, ValueWhen(newYear, Close, y), ValueWhen(newYear, Close, y + 1));    barValue = Ref(Close, -252 * y);    runningROC = (barValue / initialValue) - 1;
   VarSet("Year" + y, runningROC);
   avgROC += runningROC; }
avgROC /= years;
// Plot zero line Plot(0, "", colorLightGrey, styleLine | StyleThick | StyleNoLabel);
// Plot vertical lines for new year markers Plot(newYear, "", colorLightGrey, styleHistogram | styleThick | styleOwnScale | styleNoLabel);
// Plot current year with thick emphasis initialValue = Iif(newYear, ValueWhen(newYear, Close, 0), ValueWhen(newYear, Close, 1)); barValue = Close; runningROC = (barValue / initialValue) - 1; Plot(runningROC, "ROC", colorDarkRed, styleThick);
// Plot previous years with incrementing colors for (y = 1; y <= years; y++) {    Plot(VarGet("Year" + y), "" + y + " Years Ago", colorDarkRed + y); }
// Plot average as solid area Plot(avgROC, "Avg.", colorDarkRed + y, styleArea);

Mike

--- In amibroker@xxxxxxxxxxxxxxx, "Richard" <richpach2@xxx> wrote:
>
> Hello Mike,
>
> This is very clever piece of code. Thank you for sharing it with us.
> I would have used "for" loop to create a new "close" array for each year with 1-252 index. I didn't know you can use build-in "Close" array in that way. Now that we can see the result for each year, it looks to me like we need to "normalize" the results so they can be compared on relative basis. Calculating an average from absolute values does not look right. Do you think that using ROC(C,1) would be an effective way to compare all individual year's results?
>
> Regards
> Richard
>
> --- In amibroker@xxxxxxxxxxxxxxx, "Mike" sfclimbers@ wrote:
> >
> >
> > If "quick and dirty" is good enough for you, you can just assume 252
> > trading days per trading year and then use Ref() with multiples of that
> > number.
> >
> > e.g.
> > years = Param("Years", 3, 1, 15, 1);
> > avgClose = 0;
> >
> > // Create dynamic variables for each year (excluding current)
> > for (y = 1; y <= years; y++) {
> > pastClose = Ref(Close, -252 * y);
> > VarSet("Year" + y, pastClose);
> > avgClose += pastClose;
> > }
> >
> > avgClose /= years;
> >
> > // Plot current year with thick emphasis
> > Plot(Close, "Close", colorDarkRed, styleThick);
> >
> > // Plot previous years with incrementing colors
> > for (y = 1; y <= years; y++) {
> > Plot(VarGet("Year" + y), "" + y + " Years Ago", colorDarkRed + y);
> > }
> >
> > // Plot average as solid area
> > Plot(avgClose, "Avg.", colorDarkRed + y, styleArea);
> >
> > Note that the example assumes that the number of backyears (i.e. years
> > variable) plus the base color (e.g. colorDarkRed) will not exceed the
> > maximum color index found here:
> > http://www.amibroker.com/guide/a_language.html
> > <http://www.amibroker.com/guide/a_language.html>
> >
> > Mike
> >
> >
> > --- In amibroker@xxxxxxxxxxxxxxx, "Rick_Miller_98" <rick300m@> wrote:
> > >
> > > I removed the nested loops line and defined MonthPer=1 and managed to
> > get a plot.
> > >
> > > However this is looking at a month to month ROC with only 12
> > datapoints. A seasonality chart needs to be daily, weekly at most.
> > >
> > > Ideally the chart would have each year's performnce plotted in the
> > background and the composite chart of all years plotted in the
> > foreground on a daily basis.
> > >
> > > This seams like quite complicated coding. I would be willing to
> > contribute towards a properly functioning chart Afl if anyone has it or
> > is willing to code it.
> > >
> > >
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "Richard" richpach2@ wrote:
> > > >
> > > > Thank you for posting this code.
> > > > Whitout <Nested_Includes.AFL> some values are not defined.
> > > > can you please advise what is the default value for MonthPer and
> > what is the ListMonths represent?
> > > >
> > > > Regards
> > > > Richard
> > > >
> > > > --- In amibroker@xxxxxxxxxxxxxxx, "vlanschot" <vlanschot@> wrote:
> > > > >
> > > > > Below is some old code of mine. May get you going though.
> > > > >
> > > > > PS
> > > > >
> > > > > #include_once <Nested_Includes.AFL>
> > > > >
> > > > > Maand = Month();
> > > > >
> > > > > JanRet = ValueWhen(Maand == 1 AND
> > Ref(Maand,1)==2,ROC(C,MonthPer));
> > > > > FebRet = ValueWhen(Maand == 2 AND
> > Ref(Maand,1)==3,ROC(C,MonthPer));
> > > > > MarRet = ValueWhen(Maand == 3 AND
> > Ref(Maand,1)==4,ROC(C,MonthPer));
> > > > > AprRet = ValueWhen(Maand == 4 AND
> > Ref(Maand,1)==5,ROC(C,MonthPer));
> > > > > MayRet = ValueWhen(Maand == 5 AND
> > Ref(Maand,1)==6,ROC(C,MonthPer));
> > > > > JunRet = ValueWhen(Maand == 6 AND
> > Ref(Maand,1)==7,ROC(C,MonthPer));
> > > > > JulRet = ValueWhen(Maand == 7 AND
> > Ref(Maand,1)==8,ROC(C,MonthPer));
> > > > > AugRet = ValueWhen(Maand == 8 AND
> > Ref(Maand,1)==9,ROC(C,MonthPer));
> > > > > SepRet = ValueWhen(Maand == 9 AND
> > Ref(Maand,1)==10,ROC(C,MonthPer));
> > > > > OctRet = ValueWhen(Maand == 10 AND
> > Ref(Maand,1)==11,ROC(C,MonthPer));
> > > > > NovRet = ValueWhen(Maand == 11 AND
> > Ref(Maand,1)==12,ROC(C,MonthPer));
> > > > > DecRet = ValueWhen(Maand == 12 AND
> > Ref(Maand,1)==1,ROC(C,MonthPer));
> > > > >
> > > > >
> > > > > SeasRet =
> > > > > IIf(Maand == 1, LastValue(Cum(JanRet)),
> > > > > IIf(Maand == 2, LastValue(Cum(FebRet)),
> > > > > IIf(Maand == 3, LastValue(Cum(MarRet)),
> > > > > IIf(Maand == 4, LastValue(Cum(AprRet)),
> > > > > IIf(Maand == 5, LastValue(Cum(MayRet)),
> > > > > IIf(Maand == 6, LastValue(Cum(JunRet)),
> > > > > IIf(Maand == 7, LastValue(Cum(JulRet)),
> > > > > IIf(Maand == 8, LastValue(Cum(AugRet)),
> > > > > IIf(Maand == 9, LastValue(Cum(SepRet)),
> > > > > IIf(Maand == 10,LastValue(Cum(OctRet)),
> > > > > IIf(Maand == 11,LastValue(Cum(NovRet)),
> > > > > IIf(Maand == 12,LastValue(Cum(DecRet)),0))))))))))));
> > > > >
> > > > > SeasRet = SeasRet/(BarCount-1);
> > > > >
> > > > > KleurHist = IIf(SeasRet<0,
> > colorRed,IIf(SeasRet>0,colorGreen,colorLightGrey));
> > > > >
> > > > > Plot(SeasRet,FullName()+" Seasonal Return for
> > "+StrExtract(ListMonths,SelectedValue(Month()-1)),KleurHist,2+4);
> > > > > //Plot(OctRet,"ret",1,1);
> > > > > Title = "{{DATE}} -- {{INTERVAL}}\n{{VALUES}} ";
> > > > >
> > > > > --- In amibroker@xxxxxxxxxxxxxxx, Rick Osborn <ricko@> wrote:
> > > > > >
> > > > > > I would be interested in that too
> > > > > >
> > > > > > Best Regards
> > > > > > Rick Osborn
> > > > > >
> > > > > >
> > > > > >
> > > > > >
> > > > > > ________________________________
> > > > > > From: Rick_Miller_98 <rick300m@>
> > > > > > To: amibroker@xxxxxxxxxxxxxxx
> > > > > > Sent: Mon, December 14, 2009 9:53:23 PM
> > > > > > Subject: [amibroker] Seasonality Plot
> > > > > >
> > > > > >
> > > > > > I am looking for some code to overlay multiple years on the same
> > Jan-Dec axis and to create a composite plot of all of those years to
> > identify seasonality trends.
> > > > > >
> > > > > > Please E-Mail me if you have it. I am willing to contribute to
> > the cause.
> > > > > >
> > > > > > Thanks!
> > > > > >
> > > > >
> > > >
> > >
> >
>

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