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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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