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Seasonality Indicator Converting
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Seasonality Indicator Converting

  #1 (permalink)
Elite Member
Frankfurt, Germany
 
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Seasonality Indicator Converting

Hello friends,

I found an indicator, which calculates seasonal performance. The problem is, that it is for tradestation. Is someone able to convert the indicator from Tradestation Easylanguage to Ninjatrader C#? Or is it to complex (I am not a software engineer, so I have no idea).

The code with a description is here:

https://www.tradestation.com/education/labs/analysis-concepts/seasonality-studying-annual-price-cycles


Best regards,
Harvard

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  #3 (permalink)
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Hi @Harvard
I think maybe @Fat Tails has done something might look at.
Try a search for attachments and use his username as a filter

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  #4 (permalink)
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learning0101 View Post
Hi @Harvard
I think maybe @Fat Tails has done something might look at.
Try a search for attachments and use his username as a filter

I have done an intraday seasonality indicator with a focus on volume and volatility (range). This indicator is one of my earlier undertakings and is not CPU efficient. I plan to do an update.

I have not coded an indicator which shows annual seasonality of price. However, this pretty easy to do.

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  #5 (permalink)
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O.k. Thank you very much colleagues.

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Seasonal Average Percentile

@Harvard I was not able to look at the code of those Tradestation files but please see attached a Seasonal Avg. Percentile indicator. It is not perfect but it is a start. It is based on the book Fundamentals from Schwager. It only computes up to 5 years back.

I tried to get a constant value per month but the problem I found in lower timeframes was that it threw ripples when I used Closes [1][0] and Opens [1] [0] since it was naturally using the current open of the month and the previous close. So I changed it to Close [0] to have it computed with the current close of whichever timeframe.

You need to load at least 2 years of data to see it right.

According to Schwager a reading > 15% is bullish and < -15% bearish.

Tweak it as you see fit.

Attached Files
Register to download File Type: zip SeasonalAvgPercentile.zip (2.0 KB, 52 views)

Last edited by ElChacal; June 16th, 2015 at 10:16 AM.
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Thanks a lot ElChacal. Looks great. I think it is useful.

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