Being aware of seasonality is an important part of any traders toolbox so I wrote this indicator to analyse any market month by month from any available date in the past to the present month.
Apply on any market but only on monthly charts.
It is always a good idea to compare shorter look back periods with a longer look back period to help gauge the reliability of seasonality results. You can enter the start year and start month required so you can quickly compare market seasonality over different look back periods.
The results you are interested in are the last ones under the current months candle. They are as follows:
Return: The average pips return in that month over the period tested. If you had opened a long bet at the beginning of that month and closed it at the end of that month every year then this is how much you would have gained or lost on average each month.
Rank%: The best performing monthly average return and the worst performing monthly average return are ranked at 100% and -100%. All months in between are given a ranking% relative to these. This is useful if you want to alter position sizing in a strategy month by month based on seasonality. You might want to place position size of 100% of your maximum bet size in months rated at 100% and only 33% in months rated 33% for example.
Reliability%: The number of up months and number of down months are totalled up and a reliability percentage calculated. For example if you test over 10 years and have ten tests of January and January’s results favour long positions then if 7 of those months see a gain and 3 a loss then the reliability is 70%. You may wish to only go long in months with a Reliability% of over 70% for example. This reliability% helps you decide the probability of future results matching historical results.
I suggest downloading the .ITF file and importing it to get full functionality rather than cutting and pasting the code.
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//Seasonality Analysis //Created by Vonasi //StartMonth = 1 //StartYear = 1997 IF OpenYear = StartYear and OpenMonth = StartMonth THEN Flag = 1 ENDIF IF Flag = 1 THEN IF OpenMonth = 1 THEN JanTotal = JanTotal + (close - open) JanCount = JanCount + 1 IF close > open THEN JanUp = JanUp + 1 ENDIF ENDIF IF OpenMonth = 2 THEN FebTotal = FebTotal + (close - open) FebCount = FebCount + 1 IF close > open THEN FebUp = FebUp + 1 ENDIF ENDIF IF OpenMonth = 3 THEN MarTotal = MarTotal + (close - open) MarCount = MarCount + 1 IF close > open THEN MarUp = MarUp + 1 ENDIF ENDIF IF OpenMonth = 4 THEN AprTotal = AprTotal + (close - open) AprCount = AprCount + 1 IF close > open THEN AprUp = AprUp + 1 ENDIF ENDIF IF OpenMonth = 5 THEN MayTotal = MayTotal + (close - open) MayCount = MayCount + 1 IF close > open THEN MayUp = MayUp + 1 ENDIF ENDIF IF OpenMonth = 6 THEN JunTotal = JunTotal + (close - open) JunCount = JunCount + 1 IF close > open THEN JunUp = JunUp + 1 ENDIF ENDIF IF OpenMonth = 7 THEN JulTotal = JulTotal + (close - open) JulCount = JulCount + 1 IF close > open THEN JulUp = JulUp + 1 ENDIF ENDIF IF OpenMonth = 8 THEN AugTotal = AugTotal + (close - open) AugCount = AugCount + 1 IF close > open THEN AugUp = AugUp + 1 ENDIF ENDIF IF OpenMonth = 9 THEN SepTotal = SepTotal + (close - open) SepCount = SepCount + 1 IF close > open THEN SepUp = SepUp + 1 ENDIF ENDIF IF OpenMonth = 10 THEN OctTotal = OctTotal + (close - open) OctCount = OctCount + 1 IF close > open THEN OctUp = OctUp + 1 ENDIF ENDIF IF OpenMonth = 11 THEN NovTotal = NovTotal + (close - open) NovCount = NovCount + 1 IF close > open THEN NovUp = NovUp + 1 ENDIF ENDIF IF OpenMonth = 12 THEN DecTotal = DecTotal + (close - open) DecCount = DecCount + 1 IF close > open THEN DecUp = DecUp + 1 ENDIF ENDIF ENDIF Jan = Round(JanTotal/JanCount) Feb = Round(FebTotal/FebCount) Mar = Round(MarTotal/MarCount) Apr = Round(AprTotal/AprCount) May = Round(MayTotal/MayCount) Jun = Round(JunTotal/JunCount) Jul = Round(JulTotal/JulCount) Aug = Round(AugTotal/AugCount) Sep = Round(SepTotal/SepCount) Oct = Round(OctTotal/OctCount) Nov = Round(NovTotal/NovCount) Dec = Round(DecTotal/DecCount) IF Jan > 0 THEN JanR = 0 JanG = 128 JanRel = Round((JanUp/JanCount)*100) ELSE JanR = 128 JanG = 0 JanRel = Round(((JanCount - JanUp)/JanCount)*100) ENDIF IF Feb > 0 THEN FebR = 0 FebG = 128 FebRel = Round((FebUp/FebCount)*100) ELSE FebR = 128 FebG = 0 FebRel = Round(((FebCount - FebUp)/FebCount)*100) ENDIF IF Mar > 0 THEN MarR = 0 MarG = 128 MarRel = Round((MarUp/MarCount)*100) ELSE MarR = 128 MarG = 0 MarRel = Round(((MarCount - MarUp)/MarCount)*100) ENDIF IF Apr > 0 THEN AprR = 0 AprG = 128 AprRel = Round((AprUp/AprCount)*100) ELSE AprR = 128 AprG = 0 AprRel = Round(((AprCount - AprUp)/AprCount)*100) ENDIF IF May > 0 THEN MayR = 0 MayG = 128 MayRel = Round((MayUp/MayCount)*100) ELSE MayR = 128 MayG = 0 MayRel = Round(((MayCount - MayUp)/MayCount)*100) ENDIF IF Jun > 0 THEN JunR = 0 JunG = 128 JunRel = Round((JunUp/JunCount)*100) ELSE JunR = 128 JunG = 0 JunRel = Round(((JunCount - JunUp)/JunCount)*100) ENDIF IF Jul > 0 THEN JulR = 0 JulG = 128 JulRel = Round((JulUp/JulCount)*100) ELSE JulR = 128 JulG = 0 JulRel = Round(((JulCount - JulUp)/JulCount)*100) ENDIF IF Aug > 0 THEN AugR = 0 AugG = 128 AugRel = Round((AugUp/AugCount)*100) ELSE AugR = 128 AugG = 0 AugRel = Round(((AugCount - AugUp)/AugCount)*100) ENDIF IF Sep > 0 THEN SepR = 0 SepG = 128 SepRel = Round((SepUp/SepCount)*100) ELSE SepR = 128 SepG = 0 SepRel = Round(((SepCount - SepUp)/SepCount)*100) ENDIF IF Oct > 0 THEN OctR = 0 OctG = 128 OctRel = Round((OctUp/OctCount)*100) ELSE OctR = 128 OctG = 0 OctRel = Round(((OctCount - OctUp)/OctCount)*100) ENDIF IF Nov > 0 THEN NovR = 0 NovG = 128 NovRel = Round((NovUp/NovCount)*100) ELSE NovR = 128 NovG = 0 NovRel = Round(((NovCount - NovUp)/NovCount)*100) ENDIF IF Dec > 0 THEN DecR = 0 DecG = 128 DecRel = Round((DecUp/DecCount)*100) ELSE DecR = 128 DecG = 0 DecRel = Round(((DecCount - DecUp)/DecCount)*100) ENDIF Avg = Round((Jan + Feb + Mar + Apr + May + Jun + Jul + Aug + Sep + Oct + Nov + Dec)/12) AvgCount = (JanCount + FebCount + MarCount + AprCount + MayCount + JunCount + JulCount + AugCount + SepCount + OctCount + NovCount + DecCount) AvgUp = (JanUp + FebUp + MarUp + AprUp + MayUp + JunUp + JulUp + AugUp + SepUp + OctUp + NovUp + DecUp) IF Avg > 0 THEN AvgR = 0 AvgG = 128 AvgRel = Round((AvgUp/AvgCount)*100) ELSE AvgR = 128 AvgG = 0 AvgRel = Round(((AvgCount - AvgUp)/AvgCount)*100) ENDIF IF StartMonth = 1 THEN DrawText(" From Jan #StartYear#",barindex,15.5,SansSerif,Standard,10)coloured(0,0,0) ENDIF IF StartMonth = 2 THEN DrawText(" From Feb #StartYear#" ,barindex,15.5,SansSerif,Standard,10)coloured(0,0,0) ENDIF IF StartMonth = 3 THEN DrawText(" From Mar #StartYear#",barindex,15.5,SansSerif,Standard,10)coloured(0,0,0) ENDIF IF StartMonth = 4 THEN DrawText(" From Apr #StartYear#",barindex,15.5,SansSerif,Standard,10)coloured(0,0,0) ENDIF IF StartMonth = 5 THEN DrawText(" From May #StartYear#",barindex,15.5,SansSerif,Standard,10)coloured(0,0,0) ENDIF IF StartMonth = 6 THEN DrawText(" From Jun #StartYear#",barindex,15.5,SansSerif,Standard,10)coloured(0,0,0) ENDIF IF StartMonth = 7 THEN DrawText(" From Jul #StartYear#",barindex,15.5,SansSerif,Standard,10)coloured(0,0,0) ENDIF IF StartMonth = 8 THEN DrawText(" From Aug #StartYear#",barindex,15.5,SansSerif,Standard,10)coloured(0,0,0) ENDIF IF StartMonth = 9 THEN DrawText(" From Sep #StartYear#",barindex,15.5,SansSerif,Standard,10)coloured(0,0,0) ENDIF IF StartMonth = 10 THEN DrawText(" From Oct #StartYear#",barindex,15.5,SansSerif,Standard,10)coloured(0,0,0) ENDIF IF StartMonth = 11 THEN DrawText(" From Nov #StartYear#",barindex,15.5,SansSerif,Standard,10)coloured(0,0,0) ENDIF IF StartMonth = 12 THEN DrawText(" From Dec #StartYear#",barindex,15.5,SansSerif,Standard,10)coloured(0,0,0) ENDIF Bottom = Min(Dec,Min(Nov,Min(Oct,Min(Sep,Min(Aug,Min(Jul,Min(Jun,Min(May,Min(Apr,Min(Mar,MIN(Feb,Jan))))))))))) Top = Max(Dec,Max(Nov,Max(Oct,Max(Sep,Max(Aug,Max(Jul,Max(Jun,Max(May,Max(Apr,Max(Mar,Max(Feb,Jan))))))))))) IF Jan > 0 THEN JanPerc = Round((Jan/Top)*100) ELSE JanPerc = 0 - Round((ABS(Jan)/ABS(Bottom))*100) ENDIF IF Feb > 0 THEN FebPerc = Round((Feb/Top)*100) ELSE FebPerc = 0 - Round((ABS(Feb)/ABS(Bottom))*100) ENDIF IF Mar > 0 THEN MarPerc = Round((Mar/Top)*100) ELSE MarPerc = 0 - Round((ABS(Mar)/ABS(Bottom))*100) ENDIF IF Apr > 0 THEN AprPerc = Round((Apr/Top)*100) ELSE AprPerc = 0 - Round((ABS(Apr)/ABS(Bottom))*100) ENDIF IF May > 0 THEN MayPerc = Round((May/Top)*100) ELSE MayPerc = 0 - Round((ABS(May)/ABS(Bottom))*100) ENDIF IF Jun > 0 THEN JunPerc = Round((Jun/Top)*100) ELSE JunPerc = 0 - Round((ABS(Jun)/ABS(Bottom))*100) ENDIF IF Jul > 0 THEN JulPerc = Round((Jul/Top)*100) ELSE JulPerc = 0 - Round((ABS(Jul)/ABS(Bottom))*100) ENDIF IF Aug > 0 THEN AugPerc = Round((Aug/Top)*100) ELSE AugPerc = 0 - Round((ABS(Aug)/ABS(Bottom))*100) ENDIF IF Sep > 0 THEN SepPerc = Round((Sep/Top)*100) ELSE SepPerc = 0 - Round((ABS(Sep)/ABS(Bottom))*100) ENDIF IF Oct > 0 THEN OctPerc = Round((Oct/Top)*100) ELSE OctPerc = 0 - Round((ABS(Oct)/ABS(Bottom))*100) ENDIF IF Nov > 0 THEN NovPerc = Round((Nov/Top)*100) ELSE NovPerc = 0 - Round((ABS(Nov)/ABS(Bottom))*100) ENDIF IF Dec > 0 THEN DecPerc = Round((Dec/Top)*100) ELSE DecPerc = 0 - Round((ABS(Dec)/ABS(Bottom))*100) ENDIF IF Avg > 0 THEN AvgPerc = Round((Avg/Top)*100) ELSE AvgPerc = 0 - Round((ABS(Avg)/ABS(Bottom))*100) ENDIF DrawText("Jan #Jan# #JanPerc# #JanRel#",barindex,12,SansSerif,Standard,10)coloured(JanR,JanG,0) DrawText("Feb #Feb# #FebPerc# #FebRel#",barindex,11,SansSerif,Standard,10)coloured(FebR,FebG,0) DrawText("Mar #Mar# #MarPerc# #MarRel#",barindex,10,SansSerif,Standard,10)coloured(MarR,MarG,0) DrawText("Apr #Apr# #AprPerc# #AprRel#",barindex,9,SansSerif,Standard,10)coloured(AprR,AprG,0) DrawText("May #May# #MayPerc# #MayRel#",barindex,8,SansSerif,Standard,10)coloured(MayR,MayG,0) DrawText("Jun #Jun# #JunPerc# #JunRel#",barindex,7,SansSerif,Standard,10)coloured(JunR,JunG,0) DrawText("Jul #Jul# #JulPerc# #JulRel#",barindex,6,SansSerif,Standard,10)coloured(JulR,JulG,0) DrawText("Aug #Aug# #AugPerc# #AugRel#",barindex,5,SansSerif,Standard,10)coloured(AugR,AugG,0) DrawText("Sep #Sep# #SepPerc# #SepRel#",barindex,4,SansSerif,Standard,10)coloured(SepR,SepG,0) DrawText("Oct #Oct# #OctPerc# #OctRel#",barindex,3,SansSerif,Standard,10)coloured(OctR,OctG,0) DrawText("Nov #Nov# #NovPerc# #NovRel#",barindex,2,SansSerif,Standard,10)coloured(NovR,NovG,0) DrawText("Dec #Dec# #DecPerc# #DecRel#",barindex,1,SansSerif,Standard,10)coloured(DecR,DecG,0) DrawText("Avg #Avg# #AvgPerc# #AvgRel#",barindex,-1,SansSerif,Standard,10)coloured(AvgR,AvgG,0) DrawText(" Return Rank% Reliability%",barindex,14,SansSerif,Standard,10)coloured(0,0,0) Hi = 16.5 Mid = 13 Mid2 = 0 Lo = -2 Return Hi, Lo, Mid, Mid2 |
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Filename : download the ITF files
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There is a very minor graphics error in the code for this indicator posted here. Please go to https://www.prorealcode.com/topic/seasonality-analysis-indicator-small-bug-fix/ for the correction and to download the correct ITF file.
I changed the code in the post and so the attached file too. Thank you.
Thank you Nicolas.
There is another very minor bug fix. The indicator description when you hover over the speech bubble is incorrect. I have uploaded a new .itf file here with this minor fix.
https://www.prorealcode.com/topic/seasonality-analysis-indicator-small-bug-fix/#post-57814
great work:-)
Thanks Reiner. that is compliments indeed from the seasonality expert.
I have a second version that I hope to post in the library soon that has in sample and out of sample periods for more accurate analysis along with a rating system. The next step is split it down into 24 half months but at the moment I have had enough of staring at Jan, Feb, Mar etc for one week!
Hi Vonasi, Can it be presented as a 1 year graph displaying a 5 year average or 10 year average. Currently I do not find so useful the current presentation. Thanks if you can help