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Just personal preference.
I think that there is more information made available by comparing the current year's performance against the uncompromised average performance of the previous years.
By including the current year in the average, any extreme in the current year would be partially hidden when compared to the average since the average would have already been influenced by the current extreme.
By keeping the current year separate, it is a better comparison between what is vs. what was.
Mike
--- In amibroker@xxxxxxxxxxxxxxx, Rick Osborn <ricko@xxx> wrote:
>
> Mike
> I note that you exclude the current bar when creating the dynamic variables for each year.
> Doing a quick check, it also seems that the current year is excluded from the average too.
> Is there a particular reason for that?
>
> Best Regards
> Rick Osborn
>
>
>
>
> ________________________________
> From: Mike <sfclimbers@xxx>
> To: amibroker@xxx
> Sent: Thu, December 17, 2009 3:36:06 AM
> Subject: [amibroker] Re: Seasonality Plot
>
>
> Wow, formatting of that was terrible. Reposting from a different browser...
> 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@xxxxxxxxx ps.com, "Mike" <sfclimbers@ ..> wrote:
> >
> > 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@xxxxxxxxx ps.com, "Richard" richpach2@ 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@xxxxxxxxx ps.com, "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.amibroke r.com/guide/ a_language. html
> > > > <http://www.amibroke r.com/guide/ a_language. html>
> > > >
> > > > Mike
> > > >
> > > >
> > > > --- In amibroker@xxxxxxxxx ps.com, "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@xxxxxxxxx ps.com, "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@xxxxxxxxx ps..com, "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@xxxxxxxxx ps.com, Rick Osborn <ricko@> wrote:
> > > > > > > >
> > > > > > > > I would be interested in that too
> > > > > > > >
> > > > > > > > Best Regards
> > > > > > > > Rick Osborn
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > >
> > > > > > > > ____________ _________ _________ __
> > > > > > > > From: Rick_Miller_ 98 <rick300m@>
> > > > > > > > To: amibroker@xxxxxxxxx ps.com
> > > > > > > > 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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