Seasonality Trader

Plots the daily seasonality profile for any ticker.

This indicator:

• Operates for any ticker. This indicator will not work properly on anything except a day chart using candlesticks, bars, or Heikin Ashi candles.
  
• Any look back period (in years) is possible, as long as there is data available. This indicator will only plot values while the selected look back length is greater than the total number of years available at a given location on the chart.
  
• Plots the current performance of the instrument on top of the seasonal profile. This is useful to observe how the current year's performance is unfolding against the expected seasonality profile.
  
• Has the option to plot the projected price values based on the seasonality profile. This is used to demonstrate how the instrument "should perform" with real prices instead of percentages. These are simulated prices using the seasonality profile.
  
• Has the option to fit the performance to the seasonality profile for easier viewing. This is especially useful when the current performance is vastly different than the expected seasonality.
  
• Can plot the current seasonality profile against the current performance AND the historical seasonality profiles against the respective historical performance. This is useful to observe the seasonality evolution in the past, as the profile changes once per year.
  
• Has the option to plot all FOMC dates up to 30 years in into the past.
  
• Has the option to plot the next FOMC date directly on the chart at the correct future bar location.
  
• Has logic for daylight savings time and leap years.
  

Please view the following two videos to understand more:

Introduction Part 1 - Seasonality Trader

19:19

Introduction Part 2 - Variance and Performance Scripts

07:54

Please PM me on Trading View or Telegram for access.

Notas de Lançamento:

The companion Deviations and Performance indicators can either be added to the bottom as a non-overlay script or dragged to the main chart window and merged with the Seasonality Trader y-axis.

Seasonality examples can be found on Equity Clock, here is one for the SPX500 index, which shows the last 20 years of performance throughout the year.

charts.equityclock.c...index-seasonal-chart

Notas de Lançamento:

Added Pearson's Correlation Coefficient with a new Input setting near the bottom of the tab. This will show the correlation (bounded between +1 and -1) of the current seasonal profile and the current ticker performance during the year.

A +1 correlation means that both are exhibiting perfect positive correlation (they are running together), while a -1 correlation means that both are exhibiting perfect negative correlation (the are running opposite).

For more information on this Wikipedia or this example.

Notas de Lançamento:

• Optimized display.
  

Notas de Lançamento:

• Updated correlation display.
  

Notas de Lançamento:

• Fixed sampling algorithm for Pearson Coefficient.
  
• Updated display.
  

Notas de Lançamento:

• Fixed label offset issues when the performance/profile is negative.
  
• Added check box to toggle on/off the Correlation Label, continue to use the style tab to style the correlation coefficient look and feel.
  

Notas de Lançamento:

• Fixed issue with last future FOMC label not disappearing once the final FOMC data has passed.
  

Notas de Lançamento:

• Fixed typo in inputs.
  

Notas de Lançamento:

• Updated member features.
  

Notas de Lançamento:

• Updated member features.
  

Notas de Lançamento:

• Fixed label offsets.
  
• Updated member features.
  

Notas de Lançamento:

• Added election year, pre-election year, mid-term years (very happy about this).
  
• Updated labeling to include filters.
  
• Set minimum year lookback length to 7 years.
  

Notas de Lançamento:

• Fixed new Pine 4.0 broken updates to language.
  

Notas de Lançamento:

• Improved performance and corrected bugs and timeout issues.
  
• Added toggle between Spearman and Pearson correlation coefficient, default is now Spearman for statistical reasons.
  

Notas de Lançamento:

• Updates to fit performance algorithm.
  

Notas de Lançamento:

• Updated filter algorithms.
  
• Added "Post Election Years" filter.
  
• Updated FOMC Dates for 2021.
  

Notas de Lançamento:

• Add options to use negative X-Offset for Labels. This helps when adding multiple seasonality profile instances to the same chart.
  

Notas de Lançamento:

• Added options to hide/show current and historical labels, both for performance and seasonality profiles.
  
• Increased total labels and lines to 100 count from 50 count.
  

Notas de Lançamento:

• Major improvements to profile generator
  
• Added filters for years ending in 0,1,2,3,4,5,6,7,8,9
  
• Added additional visibility toggle buttons. All historical and current objects can be turned off and on.
  

Notas de Lançamento:

• Bug fix for built in trading view variables.
  

Notas de Lançamento:

• Minor cosmetic changes.
  

Notas de Lançamento:

• Very happy with this update that converts the filtering to 'Election Cycle' and "Decennial Cycle'. The filters now show the evolution of each cycle type for the correct years, all in one indicator. This means that for election cycles the correct Election, Post, Mid, Pre year is plotted, and for centennial cycles the correct 0, 1, 2, 3, 4, 5, 6, 7, 8, 9 year are plotted. This means that we are viewing the cycle as a whole, normalized as a percentage profile around the zero point.
  

Example of Election Cycle on DJI looking back 86 years

Example of Centennial Cycle on DJI looking back 86 years

Notas de Lançamento:

• Fixed minor bug on historical performance display. Visibility flag only.
  

Notas de Lançamento:

• Fixed offset problem for "next fomc" label for non leap years.
  

Notas de Lançamento:

• Added new filter type: Year Range. This filter allows you to use a range of years to focus on as the seasonality profile. Use the start year and end year in conjunction with the Year Range filter to create a profile that averages the years in between, both inclusive.
  
• Fixed "Fit Performance" boolean when no historical performance is selected, automatically set to TRUE.
  

Notas de Lançamento:

• Minor cosmetic changes.
  

Notas de Lançamento:

• Updated FOMC current and projected dates for 2022.
  

Notas de Lançamento:

• Updated 2022 FOMC dates.
  

Notas de Lançamento:

• Updated FOMC dates for April 28 -> May 4. Mistake, copied over from 2021.
  

Notas de Lançamento:

• Updated product keys.
  

Notas de Lançamento:

• Minor update to resizing of window post last FOMC date of the year.
  
• Allow for negative vertical y-offsets of labels.
  

Notas de Lançamento:

• Fixed label orientations for negative y-offset values.
  

Notas de Lançamento:

• Updated 2023 FOMC dates.
  

Notas de Lançamento:

• All colors can now be customized.
  
• Organized inputs into grouped sections.
  
• Overhaul code with new pine updates for speed.
  

- FEATURE ADDITION -

Monthly performance histogram. These boxes show the average percent performance of a given month over the span of the seasonal profile.

This works as expected for the Election and Decennial cycles, where each month (Jan - Dec) is "bucketed" by its corresponding year in the sequence. For example, in the pre-election year the months of January are averaged in 2003, 2007, 2011, 2015, 2019, 2023 for a Election Cycle lookback length of 20 years (2023 - 20 = 2003).

This added feature is a big bonus to those that want a quick look at how each month performs given the constraints of the filters applied to the seasonal profile.

Notas de Lançamento:

• Fixed timing issues for monthly histograms using Year Range filter.
  

Notas de Lançamento:

Plots the daily seasonality profile for any ticker.

This indicator:

• Operates for any ticker. This indicator will not work properly on anything except a day chart using candlesticks, bars, or Heikin Ashi candles.
  
• Any look back period (in years) is possible, as long as there is data available. This indicator will only plot values while the selected look back length is greater than the total number of years available at a given location on the chart.
  
• Plots the current performance of the instrument on top of the seasonal profile. This is useful to observe how the current year's performance is unfolding against the expected seasonality profile.
  
• Has the option to plot the projected price values based on the seasonality profile. This is used to demonstrate how the instrument "should perform" with real prices instead of percentages. These are simulated prices using the seasonality profile.
  
• Has the option to fit the performance to the seasonality profile for easier viewing. This is especially useful when the current performance is vastly different than the expected seasonality.
  
• Can plot the current seasonality profile against the current performance AND the historical seasonality profiles against the respective historical performance. This is useful to observe the seasonality evolution in the past, as the profile changes once per year.
  
• Has the option to plot all FOMC dates up to 30 years in into the past.
  
• Has the option to plot the next FOMC date directly on the chart at the correct future bar location.
  
• Has logic for daylight savings time and leap years.
  
• Election and Decennial cycle filters.
  
• Monthly performance histogram.