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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
| > | > | > |
| > | > | >
| > | > |
| > | >
| > |
| >
|
|