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I copied the indicator in to TS2000 and it verified. But, it doesn't print.
Seems that the print statements might have changed. any ideas anyone?
Jim Bronke
Phoenix, AZ
----- Original Message -----
From: "Gary Fritz" <fritz@xxxxxxxx>
To: "Prosper" <brente@xxxxxxxxxxxx>; "Omega List" <omega-list@xxxxxxxxxx>
Sent: Monday, May 14, 2001 8:35 AM
Subject: Re: Weekday Profiles
> > Thanks for your reply. No they were visual charts.
>
> Hm, OK. In any case, another list member had kept a copy of the
> indicator I posted, and sent it back to me. If anyone is interested,
> here it is.
>
> The indicator doesn't plot anything on the chart. Instead it prints
> to the Print Log (or whatever "prints" go to in TS2k). Apply it to a
> daily chart and it summarizes the average and total movement for each
> day of the week.
>
> It summarizes its results at the end of each year, since the market
> changes over time. In fact my helpful friend noted: "Monday in the
> spoos has changed from a +5.8% less than a year ago to -0.7% now (it
> went: +5.8, +3.6, +3.9, +1.5, -0.7 , taking readings every few
> months)." This is the main reason why I don't use it; it changes all
> the time so I can't make use of it in my style of trading.
>
> The indicator prints out results like this:
>
> For year 2000:
> (Total gain in period = -38.85%)
> Monday Tuesday Wednesday Thursday Friday ALL
> Avg: -0.477% -0.524% -0.763% 0.306% -0.188% -0.329%
> Tot: -20.1% -23.5% -32.8% 16.8% -9.1% -56.4% (252
> days)
>
> For chart period ending 1010509:
> (Total gain in period = -17.60%)
> Monday Tuesday Wednesday Thursday Friday ALL
> Avg: -0.337% -1.069% 1.026% 0.593% -1.095% -0.176%
> Tot: -5.3% -18.5% 20.2% 11.2% -17.1% -14.4% ( 88 days)
>
> (View this with a fixed-pitch font like Courier New for best results.)
>
> Each weekday's results are listed separately, as well as the total
> results for "ALL" weekdays. The "Avg" is the average movement per
> day, i.e. on average the market dropped 0.477% on every Monday in
> 2000. The "Tot" row shows the TOTAL movement for that day during the
> entire year. So the market dropped 20.1% on ALL Mondays put
> together. There were 47 Mondays on the chart that year, and
> (1-0.004763)^47 = (1-0.201).
>
> I didn't explicitly calculate the overnight vs. daily moves. However
> notice the gain for the entire period is not the same as the gain for
> "ALL" days; that's because the "ALL" column shows the RTH-only
> movement for M-F. The difference between the "ALL" "Tot:" field and
> the "Total gain in period" is the result of overnight action. So if
> you had been long from 1/1/00 to 12/31/00, you would have lost
> 38.85%. But if you had gone long at the open every morning, and
> exited at the close every afternoon, you'd have lost 56.4%.
>
> This indicator works only on daily data. If you wanted, you could
> modify it to place the data into intraday buckets, instead of daily
> buckets. This would allow you to see e.g. how much the market
> generally moves during the first hour vs. the second hour.
>
> Gary
>
>
> { DayOfWeek %gain indicator
> Calculate the daily gain (from open to close) for each market day,
> and display results for individual weekdays.
>
> v1.01
> Gary Fritz
> 5/14/2001
> }
>
> vars: dday(0), totpct(0), totdays(0), YearOpen(Open);
> arrays: daypct[5](1), count[5](0);
>
> { Report yearly figures when we hit a new year }
>
> if (Year(Date) <> Year(Date[1])) OR LastBarOnChart then begin
> if LastBarOnChart
> then print("For chart period ending ",Date:6:0,":")
> else print("For year ",1900+Year(Date[1]):4:0,":");
> if YearOpen <> 0 then print(" (Total gain in period =
",100*Close[1]/YearOpen-100:3:2,"%)");
>
> { Calculate total of all weekday returns }
>
> totpct = 1;
> totdays = 0;
> for dday = 1 to 5 begin
> totpct = totpct * daypct[dday];
> totdays = totdays + count[dday];
> end;
>
> print(" Monday Tuesday Wednesday Thursday Friday ALL");
> print(" Avg: ",100*power(daypct[1],1/count[1])-100:2:3,"% ",
> 100*power(daypct[2],1/count[2])-100:2:3,"% ",
> 100*power(daypct[3],1/count[3])-100:2:3,"% ",
> 100*power(daypct[4],1/count[4])-100:2:3,"% ",
> 100*power(daypct[5],1/count[5])-100:2:3,"% ",
> 100*power(totpct, 1/totdays )-100:2:3,"%");
> print(" Tot: ",100*daypct[1]-100:3:1,"% ",
> 100*daypct[2]-100:3:1,"% ",
> 100*daypct[3]-100:3:1,"% ",
> 100*daypct[4]-100:3:1,"% ",
> 100*daypct[5]-100:3:1,"% ",
> 100*totpct-100:3:1,"% (",totdays:3:0," days)");
> print;
>
> { Re-init for new year }
>
> for dday = 1 to 5 begin
> daypct[dday] = 1;
> count[dday] = 0;
> end;
> YearOpen = Open;
> end;
>
> dday = DayOfWeek(Date);
>
> { Calculate today's return, and multiply it into the running total
> for that weekday }
>
> daypct[dday] = daypct[dday] * (1 + (Close - Open)/Open);
> count[dday] = count[dday] + 1;
>
> if false then plot1(0,"");
>
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