Seasonality Analysis

Seasonality Analysis

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.


Share this

Risk disclosure:

No information on this site is investment advice or a solicitation to buy or sell any financial instrument. Past performance is not indicative of future results. Trading may expose you to risk of loss greater than your deposits and is only suitable for experienced investors who have sufficient financial means to bear such risk.

ProRealTime ITF files and other attachments : How to import ITF files into ProRealTime platform?

New! PRC is also now on YouTube, subscribe to our channel for exclusive content and tutorials

  1. Vonasi • 01/08/2018 #

    There is a very minor graphics error in the code for this indicator posted here. Please go to for the correction and to download the correct ITF file.

    • Nicolas • 01/08/2018 #

      I changed the code in the post and so the attached file too. Thank you.

    • Vonasi • 01/08/2018 #

      Thank you Nicolas.

  2. Vonasi • 01/08/2018 #

    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.

  3. Reiner • 01/08/2018 #

    great work:-)

    • Vonasi • 01/08/2018 #

      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!

Register or


avatar avatar avatar avatar avatar avatar avatar avatar avatar
Related users ' posts
ALE Very Very Nice
manel Hi - Many thanks for this and your other analytical codes, stellar work - very useful ! With...
Vonasi Good idea Manel. I have posted a new version here that shows results as a percentage: https:...
Vonasi No problem pableitor - I'm glad you like it.
pableitor Hi Vonasi, I was checking a few random weeks with your indicator and sometimes it seems to ...
Vonasi I have not checked your query on a chart but my guess is that you are reading the indicator ...
Vonasi Thanks for the compliments ALE. If you use any results from it in a strategy then please sha...
CKW this is Awesome tool. thanks Vonasi
Vonasi ....and thank you for the compliment CKW.
Yannick TradingDayLong = dayofweek = 1 or dayofweek = 2 or dayofweek = 3 or dayofweek = 4 or dayof...
Marlon Hey JohnScher, your code works fine, but my results aren't as good as yours. Even if I use ...
DarioMazza Bha... this code dont work. gg
3 years ago
Nicolas You should join and read the forum thread about this strategy. There are plenty of different...
Reiner Hi djtaktik and welcome, I have answered your question in the related Pathfinder forum beca...
danver34 is this version the definitive one or from the original one have there been modifications to...