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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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