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Seasonality-trading

Bitcoin Monthly Seasonality [Alpha Extract]The Bitcoin Monthly Seasonality indicator analyzes historical Bitcoin price performance across different months of the year, enabling traders to identify seasonal patterns and potential trading opportunities. This tool helps traders: Visualize which months historically perform best and worst for Bitcoin. Track average returns and win rates for each month of the year. Identify seasonal patterns to enhance trading strategies. Compare cumulative or individual monthly performance. 🔶 CALCULATION The indicator processes historical Bitcoin price data to calculate monthly performance metrics Monthly Return Calculation Inputs: Monthly open and close prices. User-defined lookback period (1-15 years). Return Types: Percentage: (monthEndPrice / monthStartPrice - 1) × 100 Price: monthEndPrice - monthStartPrice Statistical Measures Monthly Averages: ◦ Average return for each month calculated from historical data. Win Rate: ◦ Percentage of positive returns for each month. Best/Worst Detection: ◦ Identifies months with highest and lowest average returns. Cumulative Option Standard View: Shows discrete monthly performance. Cumulative View: Shows compounding effect of consecutive months. Example Calculation (Pine Script): monthReturn = returnType == "Percentage" ? (monthEndPrice / monthStartPrice - 1) * 100 : monthEndPrice - monthStartPrice calcWinRate(arr) => winCount = 0 totalCount = array.size(arr) if totalCount > 0 for i = 0 to totalCount - 1 if array.get(arr, i) > 0 winCount += 1 (winCount / totalCount) * 100 else 0.0 🔶 DETAILS Visual Features Monthly Performance Bars: ◦ Color-coded bars (teal for positive, red for negative returns). ◦ Special highlighting for best (yellow) and worst (fuchsia) months. Optional Trend Line: ◦ Shows continuous performance across months. Monthly Axis Labels: ◦ Clear month names for easy reference. Statistics Table: ◦ Comprehensive view of monthly performance metrics. ◦ Color-coded rows based on performance. Interpretation Strong Positive Months: Historically bullish periods for Bitcoin. Strong Negative Months: Historically bearish periods for Bitcoin. Win Rate Analysis: Higher win rates indicate more consistently positive months. Pattern Recognition: Identify recurring seasonal patterns across years. Best/Worst Identification: Quickly spot the historically strongest and weakest months. 🔶 EXAMPLES The indicator helps identify key seasonal patterns Bullish Seasons: Visualize historically strong months where Bitcoin tends to perform well, allowing traders to align long positions with favorable seasonality. Bearish Seasons: Identify historically weak months where Bitcoin tends to underperform, helping traders avoid unfavorable periods or consider short positions. Seasonal Strategy Development: Create trading strategies that capitalize on recurring monthly patterns, such as entering positions in historically strong months and reducing exposure during weak months. Year-to-Year Comparison: Assess how current year performance compares to historical seasonal patterns to identify anomalies or confirmation of trends. 🔶 SETTINGS Customization Options Lookback Period: Adjust the number of years (1-15) used for historical analysis. Return Type: Choose between percentage returns or absolute price changes. Cumulative Option: Toggle between discrete monthly performance or cumulative effect. Visual Style Options: Bar Display: Enable/disable and customize colors for positive/negative bars, Line Display: Enable/disable and customize colors for trend line, Axes Display: Show/hide reference axes. Visual Enhancement: Best/Worst Month Highlighting: Toggle special highlighting of extreme months, Custom highlight colors for best and worst performing months. The Bitcoin Monthly Seasonality indicator provides traders with valuable insights into Bitcoin's historical performance patterns throughout the year, helping to identify potentially favorable and unfavorable trading periods based on seasonal tendencies.
Pine Script® indicator
by AlphaExtract
5
[COG]S&P 500 Weekly Seasonality ProjectionS&P 500 Weekly Seasonality Projection This indicator visualizes S&P 500 seasonality patterns based on historical weekly performance data. It projects price movements for up to 26 weeks ahead, highlighting key seasonal periods that have historically affected market performance. Key Features: Projects price movements based on historical S&P 500 weekly seasonality patterns (2005-2024) Highlights six key seasonal periods: Jan-Feb Momentum, March Lows, April-May Strength, Summer Strength, September Dip, and Year-End Rally Customizable forecast length from 1-26 weeks with quick timeframe selection buttons Optional moving average smoothing for more gradual projections Detailed statistics table showing projected price and percentage change Seasonality mini-map showing the full annual pattern with current position Customizable colors and visual elements How to Use: Apply to S&P 500 index or related instruments (daily timeframe or higher recommended) Set your desired forecast length (1-26 weeks) Monitor highlighted seasonal zones that have historically shown consistent patterns Use the projection line as a general guideline for potential price movement Settings: Forecast length: Configure from 1-26 weeks or use quick select buttons (1M, 3M, 6M, 1Y) Visual options: Customize colors, backgrounds, label sizes, and table position Display options: Toggle statistics table, period highlights, labels, and mini-map This indicator is designed as a visual guide to help identify potential seasonal tendencies in the S&P 500. Historical patterns are not guarantees of future performance, but understanding these seasonal biases can provide valuable context for your trading decisions. Note: For optimal visualization, use on Daily timeframe or higher. Intraday timeframes will display a warning message.
Pine Script® indicator
by CognitiveAlpha
[COG]Nasdaq Weekly Seasonality ProjectionNasdaq Weekly Seasonality Projection This indicator provides a visualization of Nasdaq seasonality patterns based on historical weekly performance data. It projects price movements for up to 26 weeks ahead, highlighting key seasonal periods that have historically affected tech stocks. Key Features: Projects price movements based on historical Nasdaq weekly seasonality patterns Highlights six key seasonal periods: January Effect, March Lows, April-May Strength, Tech Summer Rally, September Dip, and Q4 Tech Rally Customizable forecast length from 1-26 weeks with quick timeframe selection buttons Optional moving average smoothing for more gradual projections Detailed statistics table showing projected price and percentage change Seasonality mini-map showing the full annual pattern with current position Customizable colors and visual elements How to Use: Apply to Nasdaq indices or tech-focused instruments (daily timeframe or higher recommended) Set your desired forecast length (1-26 weeks) Monitor highlighted seasonal zones that have historically shown consistent patterns Use the projection line as a general guideline for potential price movement Settings: Forecast length: Configure from 1-26 weeks or use quick select buttons (1M, 3M, 6M, 1Y) Visual options: Customize colors, backgrounds, label sizes, and table position Display options: Toggle statistics table, period highlights, labels, and mini-map This indicator is designed as a visual guide to help identify potential seasonal tendencies in Nasdaq and tech stocks. Historical patterns are not guarantees of future performance, but understanding these seasonal biases can provide valuable context for your trading decisions. Note: For optimal visualization, use on Daily timeframe or higher. Intraday timeframes will display a warning message.
Pine Script® indicator
by CognitiveAlpha
1
Multi-Timeframe VWAP Master ProThe Multi-Timeframe VWAP Suite is a comprehensive and highly customizable indicator designed for traders who rely on Volume-Weighted Average Price (VWAP) across multiple timeframes and periods. This tool provides a complete suite of VWAP calculations, including daily, weekly, monthly, quarterly, yearly, and custom VWAPs, allowing traders to analyze price action and volume trends with precision. Whether you're a day trader, swing trader, or long-term investor, this indicator offers unparalleled flexibility and depth for your trading strategy. Multi-Timeframe VWAPs: Daily, Weekly, Monthly, Quarterly, and Yearly VWAPs: Track VWAP across various timeframes to identify key support and resistance levels. Customizable Timeframes: Use the SMA timeframe input to adjust the period for moving averages and other calculations. Previous Period VWAPs: Previous Daily, Weekly, Monthly, and Quarterly VWAPs: Analyze historical VWAP levels to understand past price behavior and identify potential reversal zones. Previous Year Quarterly VWAPs: Compare current price action to VWAP levels from specific quarters of the previous year. Custom VWAPs: Custom Start Date and Timeframe: Define your own VWAP periods by specifying a start date and timeframe, allowing for tailored analysis. Dynamic Custom VWAP Calculation: Automatically calculates VWAP based on your custom inputs, ensuring flexibility for unique trading strategies. Seasonal and Yearly VWAPs: April, July, and October VWAPs: Analyze seasonal trends by tracking VWAP levels for specific months. Yearly VWAP: Get a broader perspective on long-term price trends with the yearly VWAP. SMA Integration: SMA Overlay: Combine VWAP analysis with a Simple Moving Average (SMA) for additional confirmation of trends and reversals. Customizable SMA Length and Timeframe: Adjust the SMA settings to match your trading style and preferences. User-Friendly Customization: Toggle Visibility and Labels: Easily enable or disable the display of specific VWAPs and their labels to keep your chart clean and focused. Color Customization: Each VWAP line and label is color-coded for easy identification and can be customized to suit your preferences. Dynamic Labeling: Automatic Labels: Labels are dynamically placed on the last bar, providing clear and concise information about each VWAP level. Customizable Label Text: Labels include detailed information, such as the timeframe or custom period, for quick reference. Flexible Timeframe Detection: Automatic Timeframe Detection: The indicator automatically detects new days, weeks, months, and quarters, ensuring accurate VWAP calculations. Support for Intraday and Higher Timeframes: Works seamlessly on all chart timeframes, from 1-minute to monthly charts. Previous Year Quarterly VWAPs: Q1, Q2, Q3, Q4 VWAPs: Compare current price action to VWAP levels from specific quarters of the previous year. User-Selectable Year: Choose the year for which you want to calculate previous quarterly VWAPs. Persistent Monthly VWAPs: Option to Persist Monthly VWAPs Year-Round: Keep monthly VWAP levels visible even after the month ends for ongoing analysis. Comprehensive Analysis: Combines multiple VWAP timeframes and periods into a single tool, eliminating the need for multiple indicators. Customizable and Flexible: Tailor the indicator to your specific trading strategy with customizable timeframes, periods, and settings. Enhanced Decision-Making: Gain deeper insights into price action and volume trends across different timeframes, helping you make more informed trading decisions. Clean and Organized Charts: Toggle visibility and labels to keep your chart clutter-free while still accessing all the information you need. Ideal For: Day Traders: Use daily and intraday VWAPs to identify intraday support and resistance levels. Swing Traders: Analyze weekly and monthly VWAPs to spot medium-term trends and reversals. Long-Term Investors: Leverage quarterly and yearly VWAPs to understand long-term price behavior and key levels. Seasonal Traders: Track April, July, and October VWAPs to capitalize on seasonal trends. The Multi-Timeframe VWAP Suite is a powerful and versatile tool for traders of all styles and timeframes. With its comprehensive suite of VWAP calculations, customizable settings, and user-friendly design, it provides everything you need to analyze price action and volume trends with precision and confidence. Whether you're looking to fine-tune your intraday strategy or gain a broader perspective on long-term trends, this indicator has you covered.
Pine Script® indicator
by starseedmaster1
2
Window Seasonality IndicatorThis is a time window seasonal returns indicator. That is, it will provide the mean returns for a given time window based on a given number of lookbacks set by the user. The script finds matching time windows, e.g., 1st week of March going back 5 years or 9:00-10:00 window of every day going 50 days, and then calculates an average return for that window close price with respect to the close price in the immediately preceding time window, e.g. last week of February or 8:00-9:00 close price, respectively. There are 4 input options: 1) Historical Periods to Average: Set the number of matching historical windows with which to calculate an average price. The max is 730 lookback windows. Note: for monthly or weekly windows, setting too large a number will cause the script to error out. 2) Use Open Price: calculates the seasonal returns using the open price rather than close price. 3) Show Bands: select from 1 Gaussian standard deviation or a nonparamateric ranked confidence interval. As a rough heuristic, the Gaussian band requires at least 30 lookback periods, and the ranked confidence interval requires 50 or more. 4) Upper Percentile: set the upper cutoff for ranked confidence interval. 5) Lower Percentile: set the lower cutoff for ranked confidence interval. Please be aware, this indicator does not use rigorous statistical methodology and does not imply predictive power. You'll notice the range bands are very wide. Do not trade solely based on this indicator! Certain time windows, such as weekly and monthly, will make more sense applied to commodities, where annual cycles play a role in its supply and demand dynamics. Hourly windows are more useful in looking at equities markets. I like to look at equities with 1-hr windows to see if there is some pattern to overnight behavior or for market open and close.
Pine Script® indicator
by redbulleconomy
RShar Seasonal RSISeasonal RSI This indicator, Seasonal RSI, is designed to enhance trading decisions by combining the **Relative Strength Index (RSI)** with insights derived from historical **seasonality patterns**. It not only calculates RSI but also overlays seasonality data for the current week of the year, providing traders with a more contextualized view of market conditions. --- ### **Key Features** #### 1. **Relative Strength Index (RSI) Calculation** - The script calculates the RSI for a user-defined period (`RSI Length`), which is an oscillator used to measure the speed and magnitude of price changes. - RSI values are plotted on the chart, helping traders identify **overbought** and **oversold** conditions. - Thresholds for **Overbought** and **Oversold** levels are customizable, with default values of 70 and 30, respectively. --- #### 2. **Dynamic RSI Coloring Based on Seasonality** - The color of the RSI line dynamically adjusts based on historical **win rates** for the current week of the year: - **Bright Green** for win rates > 65%. - **Green** for win rates between 50-65%. - **Red** for win rates between 35-50%. - **Dark Red** for win rates < 35%. - This feature gives traders a quick visual cue about whether the historical performance of the current week tends to be bullish, neutral, or bearish. --- #### 3. **Overbought and Oversold Level Visualization** - Overbought and oversold levels are displayed as dotted horizontal lines on the RSI chart. - These levels act as visual guides for potential price reversals: - **Overbought (default 70)**: Indicates potential selling pressure. - **Oversold (default 30)**: Indicates potential buying pressure. --- #### 4. **Seasonality Data Integration** - Historical **seasonality data** is used to analyze price performance patterns for each week of the year: - **Win Rate**: The percentage of years in which prices closed higher during the current week. - **Average Weekly Change**: The average price percentage change during the current week over historical data. - This data provides additional context to RSI readings, helping traders align their strategies with seasonal tendencies. --- #### 5. **Information Table Overlay** - A table is displayed in the **top-right corner** of the chart, summarizing seasonality data for the current week: - **Week Win Rate**: Displays the percentage of historical years where prices rose during this week. - **Avg Weekly Change**: Shows the average percentage price change for the current week. Positive values are displayed in green, and negative values are shown in red. - This overlay provides actionable insights without cluttering the chart. --- ### **How It Works** 1. **Seasonality Data**: - A function (`getSeasonalityForWeek`) fetches or uses predefined mock seasonality data for each week of the year. - For each week, it calculates: - The **Win Rate** (percentage of years with positive performance). - The **Mean Change** (average price percentage change). 2. **RSI Plot**: - The RSI line is plotted on the chart. - The line's color is determined by the win rate for the current week, providing a visual representation of historical performance trends. 3. **Threshold Visualization**: - Horizontal lines for overbought and oversold levels are drawn to assist in identifying potential reversal points. 4. **Information Table**: - The table summarizes the current week's seasonality data for quick reference, helping traders make data-driven decisions. --- ### **Use Cases** - **Short-Term Traders**: Use the dynamic RSI colors and seasonality table to align short-term trades with historical patterns of weekly performance. - **Swing Traders**: Identify whether a stock or market is in an overbought/oversold condition while considering the seasonal tendency for the week. - **Contextual Decision-Making**: Combine traditional RSI signals with historical data to reduce false signals and improve timing. --- ### **Limitations** - The script uses **mock seasonality data** in its default state. To make it fully functional, replace the mock data with actual historical performance metrics for your specific ticker or market. - The indicator does not fetch real-time external data due to Pine Script’s limitations, so all seasonality data must be manually updated or hardcoded. --- This indicator provides a powerful way to combine technical analysis with historical trends, offering a unique edge to traders by adding seasonal context to RSI signals.
Pine Script® indicator
by RShar_Capital
Unlock the Power of Seasonality: Monthly Performance StrategyThe Monthly Performance Strategy leverages the power of seasonality—those cyclical patterns that emerge in financial markets at specific times of the year. From tax deadlines to industry-specific events and global holidays, historical data shows that certain months can offer strong opportunities for trading. This strategy was designed to help traders capture those opportunities and take advantage of recurring market patterns through an automated and highly customizable approach. The Inspiration Behind the Strategy: This strategy began with the idea that market performance is often influenced by seasonal factors. Historically, certain months outperform others due to a variety of reasons, like earnings reports, holiday shopping, or fiscal year-end events. By identifying these periods, traders can better time their market entries and exits, giving them an advantage over those who solely rely on technical indicators or news events. The Monthly Performance Strategy was built to take this concept and automate it. Instead of manually analyzing market data for each month, this strategy enables you to select which months you want to focus on and then executes trades based on predefined rules, saving you time and optimizing the performance of your trades. Key Features: Customizable Month Selection: The strategy allows traders to choose specific months to test or trade on. You can select any combination of months—for example, January, July, and December—to focus on based on historical trends. Whether you’re targeting the historically strong months like December (often driven by the 'Santa Rally') or analyzing quieter months for low volatility trades, this strategy gives you full control. Automated Monthly Entries and Exits: The strategy automatically enters a long position on the first day of your selected month(s) and exits the trade at the beginning of the next month. This makes it perfect for traders who want to benefit from seasonal patterns without manually monitoring the market. It ensures precision in entering and exiting trades based on pre-set timeframes. Re-entry on Stop Loss or Take Profit: One of the standout features of this strategy is its ability to re-enter a trade if a position hits the stop loss (SL) or take profit (TP) level during the selected month. If your trade reaches either a SL or TP before the month ends, the strategy will automatically re-enter a new trade the next trading day. This feature ensures that you capture multiple trading opportunities within the same month, instead of exiting entirely after a successful or unsuccessful trade. Essentially, it keeps your capital working for you throughout the entire month, not just when conditions align perfectly at the beginning. Built-in Risk Management: Risk management is a vital part of this strategy. It incorporates an Average True Range (ATR)-based stop loss and take profit system. The ATR helps set dynamic levels based on the market’s volatility, ensuring that your stops and targets adjust to changing market conditions. This not only helps limit potential losses but also maximizes profit potential by adapting to market behavior. Historical Performance Testing: You can backtest this strategy on any period by setting the start year. This allows traders to analyze past market data and optimize their strategy based on historical performance. You can fine-tune which months to trade based on years of data, helping you identify trends and patterns that provide the best trading results. Versatility Across Asset Classes: While this strategy can be particularly effective for stock market indices and sector rotation, it’s versatile enough to apply to other asset classes like forex, commodities, and even cryptocurrencies. Each asset class may exhibit different seasonal behaviors, allowing you to explore opportunities across various markets with this strategy. How It Works: The trader selects which months to test or trade, for example, January, April, and October. The strategy will automatically open a long position on the first trading day of each selected month. If the trade hits either the take profit or stop loss within the month, the strategy will close the current position and re-enter a new trade on the next trading day, provided the month has not yet ended. This ensures that the strategy continues to capture any potential gains throughout the month, rather than stopping after one successful trade. At the start of the next month, the position is closed, and if the next month is also selected, a new trade is initiated following the same process. Risk Management and Dynamic Adjustments: Incorporating risk management with this strategy is as easy as turning on the ATR-based system. The strategy will automatically calculate stop loss and take profit levels based on the market’s current volatility, adjusting dynamically to the conditions. This ensures that the risk is controlled while allowing for flexibility in capturing profits during both high and low volatility periods. Maximizing the Seasonal Edge: By automating entries and exits based on specific months and combining that with dynamic risk management, the Ultimate Monthly Performance Strategy takes advantage of seasonal patterns without requiring constant monitoring. The added re-entry feature after hitting a stop loss or take profit ensures that you are always in the game, maximizing your chances to capture profitable trades during favorable seasonal periods. Who Can Benefit from This Strategy? This strategy is perfect for traders who: Want to exploit the predictable, recurring patterns that occur during specific months of the year. Prefer a hands-off, automated trading approach that allows them to focus on other aspects of their portfolio or life. Seek to manage risk effectively with ATR-based stop losses and take profits that adjust to market conditions. Appreciate the ability to re-enter trades when a take profit or stop loss is hit within the month, ensuring that they don't miss out on multiple opportunities during a favorable period. In summary, the Ultimate Monthly Performance Strategy provides traders with a comprehensive tool to capitalize on seasonal trends, optimize their trading opportunities throughout the year, and manage risk effectively. The built-in re-entry system ensures you continue to benefit from the market even after hitting targets within the same month, making it a robust strategy for traders looking to maximize their edge in any market. Risk Disclaimer: Trading financial markets involves significant risk and may not be suitable for all investors. The Monthly Performance Strategy is designed to help traders identify seasonal trends, but past performance does not guarantee future results. It is important to carefully consider your risk tolerance, financial situation, and trading goals before using any strategy. Always use appropriate risk management and consult with a professional financial advisor if necessary. The use of this strategy does not eliminate the risk of losses, and traders should be prepared for the possibility of losing their entire investment. Be sure to test the strategy on a demo account before applying it in live markets.
Pine Script® strategy
by exlux
2
Season ChartThis overlay is built on the idea of seasonal charts. It is constructed by taking the percentage change from each close and recording that change for every trading day of any year that is within the sample. We then take the average for each day of all the years. These averages are then cumulated to create the chart as per traditional seasonal chart construction. I have also taken a trimmed mean of the averages to try and dampen the impact one off moves that may have a dramatic effect on the daily averages (for example the crash to $0 in oil in April 2020) however, even removing 10% may not guarantee one off moves won’t affect the average. The construction of the chart is completely dependent on the data provided by TradingView and so it is recommended that if longer sample sizes are used, the user go back to check that the years contained within the sample have a full history. Some data may have large gaps in their history and this can distort the seasonality readings. I have attempted to align the chart with the first trading day of the year, but the start of some months may be out by a day or two as it becomes difficult to track all weeks with differing market holidays closures each year and this in turn varies the total amount of actual trading days in each year as well as leap years. This overlay is designed for the Daily time frame only and will not work on Crypto or any other instrument that trades outside of usual business weekdays. Future updates may include the ability to adapt to Crypto instruments. All feedback and comments welcome!
Pine Script® indicator
by east-west_trading
1
Seasonality Widget [LuxAlgo]The Seasonality Widget tool allows users to easily visualize seasonal trends from various data sources. Users can select different levels of granularity as well as different statistics to express seasonal trends. 🔶 USAGE Seasonality allows us to observe general trends occurring at regular intervals. These intervals can be user-selected from the granularity setting and determine how the data is grouped, these include: Hour Day Of Week Day Of Month Month Day Of Year The above seasonal chart shows the BTCUSD seasonal price change for every hour of the day, that is the average price change taken for every specific hour. This allows us to obtain an estimate of the expected price move at specific hours of the day. Users can select when data should start being collected using the "From Date" setting, any data before the selected date will not be included in the calculation of the Seasonality Widget. 🔹 Data To Analyze The Seasonality Widget can return the seasonality for the following data: Price Change Closing price minus the previous closing price. Price Change (%) Closing price minus the previous closing price, divided by the previous closing price, then multiplied by 100. Price Change (Sign) Sign of the price change (-1 for negative change, 1 for positive change), normalized in a range (0, 100). Values above 50 suggest more positive changes on average. Range High price minus low price. Price - SMA Price minus its simple moving average. Users can select the SMA period. Volume Amount of contracts traded. Allow users to see which periods are generally the most /least liquid. Volume - SMA Volume minus its simple moving average. Users can select the SMA period. 🔹 Filter In addition to the "From Date" threshold users can exclude data from specific periods of time, potentially removing outliers in the final results. The period type can be specified in the "Filter Granularity" setting. The exact time to exclude can then be specified in the "Numerical Filter Input" setting, multiple values are supported and should be comma separated. For example, if we want to exclude the entire 2008 period we can simply select "Year" as filter granularity, then input 2008 in the "Numerical Filter Input" setting. Do note that "Sunday" uses the value 1 as a day of the week. 🔶 DETAILS 🔹 Supported Statistics Users can apply different statistics to the grouped data to process. These include: Mean Median Max Min Max-Min Average Using the median allows for obtaining a measure more robust to outliers and potentially more representative of the actual central tendency of the data. Max and Min do not express a general tendency but allow obtaining information on the highest/lowest value of the analyzed data for specific periods. 🔶 SETTINGS Granularity: Periods used to group data. From Data: Starting point where data starts being collected 🔹 Data Analyze: Specific data to be processed by the seasonality widget. SMA Length: Period of the simple moving average used for "Price - SMA" and "Volume - SMA" options in "Analyze". Statistic: Statistic applied to the grouped data. 🔹 Filter Filter Granularity: Period type to exclude in the processed data. Numerical Filter Input: Determines which of the selected hour/day of week/day of month/month/year to exclude depending on the selected Filter Granularity. Only numerical inputs can be provided. Multiple values are supported and must be comma-separated.
Pine Script® indicator
by LuxAlgo
8
Turn of the Month Strategy [Honestcowboy]The end of month effect is a well known trading strategy in the stock market. Quite simply, most stocks go up at the end of the month. What's even better is that this effect spills over to the next phew days of the next month. In this script we backtest this theory which should work especially well on SP500 pair. By default the strategy buys 2 days before the end of each month and exits the position 3 days into the next month. The strategy is a long only strategy and is extremely simple. The SP500 is one of the #1 assets people use for long term investing due to it's "9.8%" annualised return. However as a trader you want the best deal possible. This strategy is only inside the market for about 25% of the time while delivering a similar return per exposure with a lower drawdown. Here are some hypothesis why turn of the month effect happens in the stock markets: Increased inflow from savings accounts to stocks at end of month Rebalancing of portfolios by fund managers at end of month The timing of monthly cash flows received by pension funds, which are reinvested in the stock market. The script also has some inputs to define how many days before end of the month you want to buy the asset and how long you want to hold it into the next month. It is not possible to buy the asset exactly on this day every month as the market closes on the weekend. I've added some logic where it will check if that day is a friday, saturdady or sunday. If that is the case it will send the buy signal on the end of thursday, this way we enter on the friday and don't lose that months trading opportunity. The backtest below uses 4% exposure per trade as to show the equity curve more clearly and because of publishing rules. However, most fund managers and investors use 100% exposure. This way you actually risk money to earn money. Feel free to adjust the settings to your risk profile to get a clearer picture of risks and rewards before implementing in your portfolio.
Pine Script® strategy
by Honestcowboy
2
Seasonality Chart [LuxAlgo]The Seasonality Chart script displays seasonal variations of price changes that are best used on the daily timeframe. Users have the option to select the calculation lookback (in years) as well as show the cumulative sum of the seasonal indexes. 🔶 SETTINGS Lookback (Years): Number of years to use for the calculation of the seasonality chart. Cumulative Sum: Displays the cumulative sum of seasonal indexes. Use Percent Change: Uses relative price changes (as a percentage) instead of absolute changes. Linear Regression: Fits a line on the seasonality chart results using the method of least squares. 🔶 USAGE Seasonality refers to the recurrent tendencies in a time series to increase or decrease at specific times of the year. The proposed tool can highlight the seasonal variation of price changes. It is common for certain analysts to use a cumulative sum of these indexes to display the results, highlighting months with the most significant bullish/bearish progressions. The above chart allows us to highlight which months prices tended to have their worst performances over the selected number of years. 🔹 Note Daily price changes are required for the construction of the seasonal chart. Thus, charts using a low timeframe might lack data compared to higher ones. We recommend using the daily timeframe for the best user experience. 🔶 DETAILS To construct our seasonal chart, we obtain the average price changes for specific days on a specific month over a user-set number of years from January to December. These individual averages form "seasonal indexes." This is a common method in classical time series decomposition. Example: To obtain the seasonal index of price changes on January first we record every price change occuring on January first over the years of interest, we then average the result. This operation is done for all days in each month to construct our seasonal chart. Seasonal variations are often highlighted if the underlying time series is affected by seasonal factors. For market prices, it is difficult to assess if there are stable seasonal variations on all securities. The consideration of seasonality by market practitioners has often been highlighted through strategies or observations. One of the most common is expressed by the adage "Sell in May and Go Away" for the US market. We can also mention: January Effect Santa Claus Rally Mark Twain Effect ...etc. These are commonly known as calendar effects and appear from the study of seasonal variations over certain years.
Pine Script® indicator
by LuxAlgo
7
ILM Seasonality Monthly - Day of Month - Tabular FormUse this indicator on Daily Timeframe This indicator displays the seasonality data for any instrument (index/stock/ futures /currency) in a tabular data by day of the month (Day 1..31). User can change the start of the year and month for analysis from the inputs. Year is represented in rows and Day of the month (Day) is represented in cols. This indicator uses Daily Data feed to calculate the % change Summary data for Day of month is displayed at the bottom of the table
Pine Script® indicator
by ILuvMarkets
9
Month/Month Percentage % Change, Historical; Seasonal TendencyTable of monthly % changes in Average Price over the last 10 years (or the 10 yrs prior to input year). Useful for gauging seasonal tendencies of an asset; backtesting monthly volatility and bullish/bearish tendency. ~~User Inputs~~ Choose measure of average: sma(close), sma(ohlc4), vwap(close), vwma(close). Show last 10yrs, with 10yr average % change, or to just show single year. Chose input year; with the indicator auto calculating the prior 10 years. Choose color for labels and size for labels; choose +Ve value color and -Ve value color. Set 'Daily bars in month': 21 for Forex/Commodities/Indices; 30 for Crypto. Set precision: decimal places ~~notes~~ -designed for use on Daily timeframe (tradingview is buggy on monthly timeframe calculations, and less precise on weekly timeframe calculations). -where Current month of year has not occurred yet, will print 9yr average. -calculates the average change of displayed month compared to the previous month: i.e. Jan22 value represents whole of Jan22 compared to whole of Dec21. -table displays on the chart over the input year; so for ES, with 2010 selected; shows values from 2001-2010, displaying across 2010-2011 on the chart. -plots on seperate right hand side scale, so can be shrunk and dragged vertically. -thanks to @gabx11 for the suggestion which inspired me to write this
Pine Script® indicator
by twingall
10