Seasonality Analysis

v10.3
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.

 

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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?

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  1. Vonasi • 133 days ago #

    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.

    • Nicolas • 133 days ago #

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

    • Vonasi • 133 days ago #

      Thank you Nicolas.

  2. Vonasi • 132 days ago #

    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

  3. Reiner • 132 days ago #

    great work:-)

    • Vonasi • 132 days ago #

      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!

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