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Hi Marco
I believe that Phil Tiger is available through the Smith Barney client
newsletter services. There are many services that have come and gone, i.e.,
spreadscope.com
Proprietary work is not available.
Spreads and seasonality are big business to the commercials. One researcher
told me that over 60% of the grains open interest are part of spread
positions. Check out the major houses research pages on the web.
Progress in this area takes a lot of digging and detective work.
Best regards
Walter
----- Original Message -----
From: "Marco" <mgugliel@xxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Sent: Monday, May 22, 2000 2:36 AM
Subject: R: Seasonality calculation
| Hi Walter,
|
| many thanx again...
|
| Which is the address of Tiger? I do not know them...
|
| Best
|
| Marco
| ----- Original Message -----
| From: Walter Lake <wlake@xxxxxxxxx>
| To: <metastock@xxxxxxxxxxxxx>
| Sent: Sunday, May 21, 2000 7:49 PM
| Subject: Re: Seasonality calculation
|
|
| > Hi Marco
| >
| > no problem ....
| >
| > To others who wrote ... you calculate your contract year spread for the
| full
| > 240 days and put it a column. You'll need 10 to 15 years or columns.
| >
| > Normalize your spread data for everyday in the 15x240 array and
calculate
| > the daily average for the "window" that you want, i.e. 5 year or 15
year.
| >
| > For normalization try this in-cell formula: =100*(daily
| close-MIN)/(MAX-MIN)
| > ...
| > calculate separate MIN and MAX for each column.
| >
| > Use MRCI or Tiger etc. for ideas on what time periods (i.e., classical
| > seasonals) to check out.
| >
| > Then determine if the seasonal is tradable ... just because it is
| profitable
| > for 12 of 15 years doesn't make it tradable for 12 of 15 years.
| >
| > Once you've determined tradability then you can run them into Metastock
| for
| > indicator analysis, and system testing.
| >
| > Best regards
| >
| > Walter
| >
| >
| > ----- Original Message -----
| > From: "Marco" <mgugliel@xxxxxxxxxxxx>
| > To: <metastock@xxxxxxxxxxxxx>
| > Sent: Sunday, May 21, 2000 11:22 AM
| > Subject: R: Seasonality calculation
| >
| >
| > | Hi Walter,
| > |
| > | many thanx again for the information...
| > |
| > | Marco
| > |
| > |
| > |
| > | ----- Original Message -----
| > | From: Walter Lake <wlake@xxxxxxxxx>
| > | To: <metastock@xxxxxxxxxxxxx>
| > | Sent: Sunday, May 21, 2000 1:04 PM
| > | Subject: Re: Seasonality calculation
| > |
| > |
| > | > Hi Marco
| > | >
| > | > The basic MRCI method appeared in a Futures Mag article several
years
| > ago
| > | .
| > | >
| > | > I use the daily close of the last 240 days of each contract year.
| > | >
| > | > For 30 years of contracts, i.e., DM69Z (DMark 1969 Dec contract)
| there
| > | are
| > | > 30 columns of 240 rows each. Trim off any extra rows for longer
| > contracts.
| > | > Do not use continuous contracts.
| > | >
| > | > MRCI only uses the last 15 years in their calculations.
| > | >
| > | > Calculate MIN and MAX for year column.
| > | >
| > | > Normalize all data (highest high of column = 100 and lowest low = 0)
| on
| > | > another sheet using "!" in your formula.
| > | >
| > | > Average each row for whatever "yearly window" you want, 5 year, 15
yr
| > etc.
| > | >
| > | > Chart average.
| > | >
| > | > That ought to get you started.
| > | >
| > | > Best regards
| > | >
| > | > Walter
| > | >
| > | > ----- Original Message -----
| > | > From: "Marco" <mgugliel@xxxxxxxxxxxx>
| > | > To: <metastock@xxxxxxxxxxxxx>
| > | > Sent: Sunday, May 21, 2000 1:29 AM
| > | > Subject: R: Seasonality calculation
| > | >
| > | >
| > | > | Hi Walter,
| > | > |
| > | > | I understood you perfom calculation using Excel: I use it, but I
do
| > not
| > | > know
| > | > | Visual basic unfortunately. How to perrform calculation using
only
| > the
| > | > | capability of Excel spreadsheet?
| > | > |
| > | > | Many thanx
| > | > |
| > | > | Marco
| > | > | ----- Original Message -----
| > | > | From: Walter Lake <wlake@xxxxxxxxx>
| > | > | To: <metastock@xxxxxxxxxxxxx>
| > | > | Sent: Sunday, May 21, 2000 4:03 AM
| > | > | Subject: Re: Seasonality calculation
| > | > |
| > | > |
| > | > | > Hi Marco
| > | > | >
| > | > | > I hope that I didn't mislead you. My "versions" of MRCI
| seasonality
| > | and
| > | > | > spread seasonality calculations are programmed using Microsoft
| Excel
| > | and
| > | > | NOT
| > | > | > Metastock.
| > | > | >
| > | > | > Are you familiar with Excel and its programming language VBA
| (Visual
| > | > Basic
| > | > | > for Applications)?
| > | > | >
| > | > | > Best regards
| > | > | >
| > | > | > Walter
| > | > | >
| > | > | > ----- Original Message -----
| > | > | > From: "Marco" <mgugliel@xxxxxxxxxxxx>
| > | > | > To: <metastock@xxxxxxxxxxxxx>
| > | > | > Sent: Saturday, May 20, 2000 8:09 AM
| > | > | > Subject: R: Seasonality calculation
| > | > | >
| > | > | >
| > | > | > | Hi Walter, many thanx
| > | > | > |
| > | > | > | Just some clarificationn abourt how proceed:
| > | > | > |
| > | > | > | I have the various contract sseparately for expiration date,
and
| I
| > | > would
| > | > | > | like to calculate the seasonality of a spread (let 's ay buy
| corn
| > | > | > july/sell
| > | > | > | wheat dec.) How to proceed?
| > | > | > |
| > | > | > |
| > | > | > | In addition, I do not unserstand the latest part of your
email,
| > ols
| > | > may
| > | > | > you
| > | > | > | clarify?
| > | > | > |
| > | > | > | > It's standard XL stuff. Serious number crunching without
| > anything
| > | > | > | > complicated. VBA subs in XL take about 20 to 30 seconds to
| run,
| > | for
| > | > | all
| > | > | > | the
| > | > | > | > analysis and charting you can think of, for each contract.
| > | > | > |
| > | > | > |
| > | > | > | Many thanx again
| > | > | > |
| > | > | > | Best
| > | > | > |
| > | > | > | Marco
| > | > | > |
| > | > | > |
| > | > | > |
| > | > | > | ----- Original Message -----
| > | > | > | From: Walter Lake <wlake@xxxxxxxxx>
| > | > | > | To: <metastock@xxxxxxxxxxxxx>
| > | > | > | Sent: Saturday, May 20, 2000 1:20 AM
| > | > | > | Subject: Re: Seasonality calculation
| > | > | > |
| > | > | > |
| > | > | > | > Hi Marco
| > | > | > | >
| > | > | > | > Normalize your yearly contracts and apply a 15 year average.
| > Sort
| > | > for
| > | > | > | > minimum profit levels e.g.. 12 of 15 years, etc. Use slope
and
| > | > | r-squared
| > | > | > | to
| > | > | > | > determine bull-bear years.
| > | > | > | >
| > | > | > | > It's standard XL stuff. Serious number crunching without
| > anything
| > | > | > | > complicated. VBA subs in XL take about 20 to 30 seconds to
| run,
| > | for
| > | > | all
| > | > | > | the
| > | > | > | > analysis and charting you can think of, for each contract.
| > | > | > | >
| > | > | > | > Best regards
| > | > | > | >
| > | > | > | > Walter
| > | > | > | >
| > | > | > | > ----- Original Message -----
| > | > | > | > From: "Marco" <mgugliel@xxxxxxxxxxxx>
| > | > | > | > To: <metastock@xxxxxxxxxxxxx>
| > | > | > | > Sent: Friday, May 19, 2000 3:09 PM
| > | > | > | > Subject: Seasonality calculation
| > | > | > | >
| > | > | > | >
| > | > | > | > | Hi,
| > | > | > | > |
| > | > | > | > | is there somebody that may explain how the seasonal
| pattern
| > | > shown
| > | > | in
| > | > | > | the
| > | > | > | > | www.mrci.com site are calculated, or in any case which
| is(are)
| > | the
| > | > | > | > | mathematical technique(s) to calculate the seasonality of
a
| > | > | commodity
| > | > | > or
| > | > | > | > | stock?
| > | > | > | > |
| > | > | > | > | Many thanx in advance for any help
| > | > | > | > |
| > | > | > | > | Best
| > | > | > | > |
| > | > | > | > | Marco
| > | > | > | > |
| > | > | > | >
| > | > | > |
| > | > | >
| > | > |
| > | >
| > |
| >
|
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