Re: Seasonality calculation

["Walter Lake" <wlake@xxxxxxxxx>]

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