|
PureBytes Links
Trading Reference Links
|
Hi Gary,
There is this Theta model that decomposes a series into three parts,
short term, long term and seasonal trend. We've toyed around with it
quite a bit and, not surprisingly, found good seasonality in
commodities (grains e.g.) but not really much in financial stuff.
Funny, some currencies have good seasonal patterns (guess it is
related to stop-loss hunting often seen in currencies during quiet,
holiday times). The way in which the Theta model applies it is the
well known Holt-Winters method, which, funny enough, uses central
moving averages quite a bit. Anyhow, you can look up that technique
and see if it helps.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com
--- In equismetastock@xxxxxxxxxxxxxxx, "its_greek_too_me"
<gzigmond@xxxx> wrote:
>
>
> Has anyone done work on seasonality in stocks?
>
> I'm just a newbie in MS who needs help in setting up a test for a
> certain period each year over a long time frame. How would I test for
> a stock's return each year for the first week in April (the first five
> trading days) for the last ten years?
>
> Thanks
>
> -Gary
------------------------ Yahoo! Groups Sponsor --------------------~-->
Has someone you know been affected by illness or disease?
Network for Good is THE place to support health awareness efforts!
http://us.click.yahoo.com/Rcy2bD/UOnJAA/cosFAA/BefplB/TM
--------------------------------------------------------------------~->
Yahoo! Groups Links
<*> To visit your group on the web, go to:
http://groups.yahoo.com/group/equismetastock/
<*> To unsubscribe from this group, send an email to:
equismetastock-unsubscribe@xxxxxxxxxxxxxxx
<*> Your use of Yahoo! Groups is subject to:
http://docs.yahoo.com/info/terms/
|