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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).
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.
@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.
