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Seasonality In Setups
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JimDean
Posted 6/9/2012 9:17 AM (#3685)
Subject: Seasonality In Setups



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The Seasonality module offers great potential for improving almost any strategy (mechanical or discretionary), since it gives a statisitical-historical view in time segments, rather than a snapshot of some continuous math function of OHLCV.

There are many ways to use it ... one powerful mechanism that helps with discretionary trading (or confirmation-checks for more mechanical approaches) is to define an EZ-Setup template which incorporates Seasonality measurements.

For EOD trading, several views are available, taking weekly, monthly or quarterly pie-slices of a year into account. With the advent of Seasonality 2, the "microseasons" of quarters, months, weeks and days offer shorter-term traders even more levels of insight.

There are three general patterns you might consider using when applying Seasonality functions in a Setup template:

1. Lock in to one time-view, and display the status of several Seasonality measurements in different columns.

2. Lock in to one Seasonality measurement, and display its status for several time-windows in different columns.

3. Combine Several measurements from #1 into a single column, using homegrown filter-logic, and then repeat that logic for several different time-windows in different columns.

This is a big topic that I'll likely cover in some video training later. If anyone has some examples of Setups that use Seasonality which you've found to be useful, please post them here - please provide full detail, similar to what my next post illustrates.
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JimDean
Posted 6/9/2012 9:53 AM (#3686 - in reply to #3685)
Subject: Seasonality In Setups



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Posts: 3925
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This is an example of method #1 suggested in the first post of this thread.

I've applied four different Seasonality indicators in an EZ-Setup template:
SeaD (directionality), Sea (seasonality), SeaSum (summary), and SeaCor (corellation)
... refer to the manual for explanations of what these mean :~)

They all can be plotted on an individual chart, or assigned as values in a Focus List column ... but EZ-Setup allows their results to be "binned" into color-coded good/avg/poor categories, which can be sorted. EZS is a truly nifty tool.

In the example below, you'll see three snaps of the Nas100 (the top part), each sorted differently:
Alpha by symbol, Bullish, and Bearish ... where "bull" and "bear" are subjective, of course. Below that is a chart template with those indicators shown (not in the same order).

I created this layout using some arbitrary thresholds that made sense to me. The second snapshot shows how they are laid out. Notice that the scale is Linear (80,60,40,20) for Directionality, but Geometric (30, 20, 10, 5; 8, 4, 2, 1; 0.8, 0.4, 0.2, 0.1) for the others ... I used geometric when it seemed to me that there were many more "hits" in the lower-bins than in the upper ones (ie it was sort of a "bell curve".) This is just guesswork ... you may find other thresholds work better for you.

This is Seasonality 1.0, month-of-year analysis, based on 2000-2011. It's NOT set up to be market-relative ... that variation might be quite useful (substitute a "1" for the third parameter just left of the "$SPX"). Take a look at the manual for more info.

To make things easier for you, I've also attached a downloadable Zip file that contains:
1. the Setups Template ... copy this txt file into the Nirvana\2012\Setups folder
2. the Chart Template ... copy this otd file into the Nirvana\2012\ChartTemplates folder
3. the Profile ... copy this otp file into the Nirvana\2012\Profiles folder

Do NOT change any names ... if you do, OT will get mixed up and spit error messages at you.
And, of course, you'll need to own the Seasonality Plugin for this to work.

Enjoy!


(Seasonality Setups FL & Chart.png)



(Seasonality Setups Column Detail.png)



Attachments
Attachments Seasonality Setups FL & Chart.png (61KB - 5 downloads)
Attachments Seasonality Setups Column Detail.png (22KB - 5 downloads)
Attachments Seasonality Setup - four indics.zip (251KB - 15 downloads)
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