Hi Mike, Thank you again on your input on this subject. I didn't initiate this post but I have an interest on this subject and it has been on my to-do list for a while. You have opened my eyes to another way of aproachinmg this seasonality subject. I will have a closer look at XShift. Let us know when you have an "ah-ha!" moment leaping from your subconscious.
Kind Regards Richard --- In [email protected], "Mike" <sfclimb...@...> wrote: > > Richard, > > The Plot statement has an XShift parameter which is supposed to be used to > continue plotting into the future. However, since all my Plots get reset at > each new year, the lookahead doesn't quite work as end of year boundaries are > approached. > > That's not to say that there isn't a way to do it. But rather just that it is > not immediately obvious (to me) and, unfortunately, I don't have the time to > look into it in any more detail right now. If an "ah-ha!" moment leaps from > my subconscious, I'll let you know. Otherwise, I'd suggest focusing your > efforts on XShift. > > Mike > > --- In [email protected], "Richard" <richpach2@> wrote: > > > > Hi Mike, > > This looks really good. I wish I had your skills in AFL programming. > > Resetting each year to near zero is better idea than trying to use ROC for > > comparison. > > One comment I would like to make is that, with this approach we are not > > able to look into the future which is desired outcome for seasonality plot. > > How would you modify this code to plot seasonality average, say three > > months forward? > > > > Kind Regards > > Richard > > > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > > > > Wow, formatting of that was terrible. Reposting from a different > > > browser... > > > > > > years = Param("Years", 3, 1, 15, 1); > > > newYear = Year() != Ref(Year(), -1); > > > avgROC = 0; > > > > > > // Create dynamic variables for each year (excluding current) > > > for (y = 1; y <= years; y++) { > > > initialValue = IIf(newYear, ValueWhen(newYear, Close, y), > > > ValueWhen(newYear, Close, y + 1)); > > > barValue = Ref(Close, -252 * y); > > > runningROC = (barValue / initialValue) - 1; > > > VarSet("Year" + y, runningROC); > > > avgROC += runningROC; > > > } > > > > > > avgROC /= years; > > > > > > // Plot zero line > > > Plot(0, "", colorLightGrey, styleLine | StyleThick | StyleNoLabel); > > > > > > // Plot vertical lines for new year markers > > > Plot(newYear, "", colorLightGrey, styleHistogram | styleThick | > > > styleOwnScale | styleNoLabel); > > > > > > // Plot current year with thick emphasis > > > initialValue = Iif(newYear, ValueWhen(newYear, Close, 0), > > > ValueWhen(newYear, Close, 1)); > > > barValue = Close; > > > runningROC = (barValue / initialValue) - 1; > > > Plot(runningROC, "ROC", colorDarkRed, styleThick); > > > > > > // Plot previous years with incrementing colors > > > for (y = 1; y <= years; y++) { > > > Plot(VarGet("Year" + y), "" + y + " Years Ago", colorDarkRed + y); > > > } > > > > > > // Plot average as solid area > > > Plot(avgROC, "Avg.", colorDarkRed + y, styleArea); > > > > > > Mike > > > > > > > > > --- In [email protected], "Mike" <sfclimbers@> wrote: > > > > > > > > Richard, I suspect that ROC(C, 1) would not reveal much. It might be > > > > more interesting to plot a running ROC since the start of the > > > respective > > > > years. I've altered the code to show running year to date rate of > > > > return, including vertical bars delineating the first bar of each new > > > > year. You will notice that at each year goal post, all values start > > > over > > > > at zero (plus or minus a bar or two due to 252 being an imprecise > > > > measure of a year). > > > > Hope that helps. > > > > years = Param("Years", 3, 1, 15, 1); newYear = Year() != Ref(Year(), > > > > -1); avgROC = 0; > > > > // Create dynamic variables for each year (excluding current) for (y = > > > > 1; y <= years; y++) { initialValue = IIf(newYear, ValueWhen(newYear, > > > > Close, y), ValueWhen(newYear, Close, y + 1)); barValue = Ref(Close, > > > > -252 * y); runningROC = (barValue / initialValue) - 1; > > > > VarSet("Year" + y, runningROC); > > > > avgROC += runningROC; } > > > > avgROC /= years; > > > > // Plot zero line Plot(0, "", colorLightGrey, styleLine | StyleThick | > > > > StyleNoLabel); > > > > // Plot vertical lines for new year markers Plot(newYear, "", > > > > colorLightGrey, styleHistogram | styleThick | styleOwnScale | > > > > styleNoLabel); > > > > // Plot current year with thick emphasis initialValue = Iif(newYear, > > > > ValueWhen(newYear, Close, 0), ValueWhen(newYear, Close, 1)); barValue > > > = > > > > Close; runningROC = (barValue / initialValue) - 1; Plot(runningROC, > > > > "ROC", colorDarkRed, styleThick); > > > > // Plot previous years with incrementing colors for (y = 1; y <= > > > years; > > > > y++) { Plot(VarGet("Year" + y), "" + y + " Years Ago", colorDarkRed > > > > + y); } > > > > // Plot average as solid area Plot(avgROC, "Avg.", colorDarkRed + y, > > > > styleArea); > > > > Mike --- In [email protected], "Richard" richpach2@ wrote: > > > > > > > > > > Hello Mike, > > > > > > > > > > This is very clever piece of code. Thank you for sharing it with us. > > > > > I would have used "for" loop to create a new "close" array for each > > > > year with 1-252 index. I didn't know you can use build-in "Close" > > > array > > > > in that way. Now that we can see the result for each year, it looks to > > > > me like we need to "normalize" the results so they can be compared on > > > > relative basis. Calculating an average from absolute values does not > > > > look right. Do you think that using ROC(C,1) would be an effective way > > > > to compare all individual year's results? > > > > > > > > > > Regards > > > > > Richard > > > > > > > > > > --- In [email protected], "Mike" sfclimbers@ wrote: > > > > > > > > > > > > > > > > > > If "quick and dirty" is good enough for you, you can just assume > > > 252 > > > > > > trading days per trading year and then use Ref() with multiples of > > > > that > > > > > > number. > > > > > > > > > > > > e.g. > > > > > > years = Param("Years", 3, 1, 15, 1); > > > > > > avgClose = 0; > > > > > > > > > > > > // Create dynamic variables for each year (excluding current) > > > > > > for (y = 1; y <= years; y++) { > > > > > > pastClose = Ref(Close, -252 * y); > > > > > > VarSet("Year" + y, pastClose); > > > > > > avgClose += pastClose; > > > > > > } > > > > > > > > > > > > avgClose /= years; > > > > > > > > > > > > // Plot current year with thick emphasis > > > > > > Plot(Close, "Close", colorDarkRed, styleThick); > > > > > > > > > > > > // Plot previous years with incrementing colors > > > > > > for (y = 1; y <= years; y++) { > > > > > > Plot(VarGet("Year" + y), "" + y + " Years Ago", colorDarkRed + > > > > y); > > > > > > } > > > > > > > > > > > > // Plot average as solid area > > > > > > Plot(avgClose, "Avg.", colorDarkRed + y, styleArea); > > > > > > > > > > > > Note that the example assumes that the number of backyears (i.e. > > > > years > > > > > > variable) plus the base color (e.g. colorDarkRed) will not exceed > > > > the > > > > > > maximum color index found here: > > > > > > http://www.amibroker.com/guide/a_language.html > > > > > > <http://www.amibroker.com/guide/a_language.html> > > > > > > > > > > > > Mike > > > > > > > > > > > > > > > > > > --- In [email protected], "Rick_Miller_98" <rick300m@> > > > > wrote: > > > > > > > > > > > > > > I removed the nested loops line and defined MonthPer=1 and > > > managed > > > > to > > > > > > get a plot. > > > > > > > > > > > > > > However this is looking at a month to month ROC with only 12 > > > > > > datapoints. A seasonality chart needs to be daily, weekly at most. > > > > > > > > > > > > > > Ideally the chart would have each year's performnce plotted in > > > the > > > > > > background and the composite chart of all years plotted in the > > > > > > foreground on a daily basis. > > > > > > > > > > > > > > This seams like quite complicated coding. I would be willing to > > > > > > contribute towards a properly functioning chart Afl if anyone has > > > it > > > > or > > > > > > is willing to code it. > > > > > > > > > > > > > > > > > > > > > > > > > > > > --- In [email protected], "Richard" richpach2@ wrote: > > > > > > > > > > > > > > > > Thank you for posting this code. > > > > > > > > Whitout <Nested_Includes.AFL> some values are not defined. > > > > > > > > can you please advise what is the default value for MonthPer > > > and > > > > > > what is the ListMonths represent? > > > > > > > > > > > > > > > > Regards > > > > > > > > Richard > > > > > > > > > > > > > > > > --- In [email protected], "vlanschot" <vlanschot@> > > > > wrote: > > > > > > > > > > > > > > > > > > Below is some old code of mine. May get you going though. > > > > > > > > > > > > > > > > > > PS > > > > > > > > > > > > > > > > > > #include_once <Nested_Includes.AFL> > > > > > > > > > > > > > > > > > > Maand = Month(); > > > > > > > > > > > > > > > > > > JanRet = ValueWhen(Maand == 1 AND > > > > > > Ref(Maand,1)==2,ROC(C,MonthPer)); > > > > > > > > > FebRet = ValueWhen(Maand == 2 AND > > > > > > Ref(Maand,1)==3,ROC(C,MonthPer)); > > > > > > > > > MarRet = ValueWhen(Maand == 3 AND > > > > > > Ref(Maand,1)==4,ROC(C,MonthPer)); > > > > > > > > > AprRet = ValueWhen(Maand == 4 AND > > > > > > Ref(Maand,1)==5,ROC(C,MonthPer)); > > > > > > > > > MayRet = ValueWhen(Maand == 5 AND > > > > > > Ref(Maand,1)==6,ROC(C,MonthPer)); > > > > > > > > > JunRet = ValueWhen(Maand == 6 AND > > > > > > Ref(Maand,1)==7,ROC(C,MonthPer)); > > > > > > > > > JulRet = ValueWhen(Maand == 7 AND > > > > > > Ref(Maand,1)==8,ROC(C,MonthPer)); > > > > > > > > > AugRet = ValueWhen(Maand == 8 AND > > > > > > Ref(Maand,1)==9,ROC(C,MonthPer)); > > > > > > > > > SepRet = ValueWhen(Maand == 9 AND > > > > > > Ref(Maand,1)==10,ROC(C,MonthPer)); > > > > > > > > > OctRet = ValueWhen(Maand == 10 AND > > > > > > Ref(Maand,1)==11,ROC(C,MonthPer)); > > > > > > > > > NovRet = ValueWhen(Maand == 11 AND > > > > > > Ref(Maand,1)==12,ROC(C,MonthPer)); > > > > > > > > > DecRet = ValueWhen(Maand == 12 AND > > > > > > Ref(Maand,1)==1,ROC(C,MonthPer)); > > > > > > > > > > > > > > > > > > > > > > > > > > > SeasRet = > > > > > > > > > IIf(Maand == 1, LastValue(Cum(JanRet)), > > > > > > > > > IIf(Maand == 2, LastValue(Cum(FebRet)), > > > > > > > > > IIf(Maand == 3, LastValue(Cum(MarRet)), > > > > > > > > > IIf(Maand == 4, LastValue(Cum(AprRet)), > > > > > > > > > IIf(Maand == 5, LastValue(Cum(MayRet)), > > > > > > > > > IIf(Maand == 6, LastValue(Cum(JunRet)), > > > > > > > > > IIf(Maand == 7, LastValue(Cum(JulRet)), > > > > > > > > > IIf(Maand == 8, LastValue(Cum(AugRet)), > > > > > > > > > IIf(Maand == 9, LastValue(Cum(SepRet)), > > > > > > > > > IIf(Maand == 10,LastValue(Cum(OctRet)), > > > > > > > > > IIf(Maand == 11,LastValue(Cum(NovRet)), > > > > > > > > > IIf(Maand == 12,LastValue(Cum(DecRet)),0)))))))))))); > > > > > > > > > > > > > > > > > > SeasRet = SeasRet/(BarCount-1); > > > > > > > > > > > > > > > > > > KleurHist = IIf(SeasRet<0, > > > > > > colorRed,IIf(SeasRet>0,colorGreen,colorLightGrey)); > > > > > > > > > > > > > > > > > > Plot(SeasRet,FullName()+" Seasonal Return for > > > > > > "+StrExtract(ListMonths,SelectedValue(Month()-1)),KleurHist,2+4); > > > > > > > > > //Plot(OctRet,"ret",1,1); > > > > > > > > > Title = "{{DATE}} -- {{INTERVAL}}\n{{VALUES}} "; > > > > > > > > > > > > > > > > > > --- In [email protected], Rick Osborn <ricko@> > > > wrote: > > > > > > > > > > > > > > > > > > > > I would be interested in that too > > > > > > > > > > > > > > > > > > > > Best Regards > > > > > > > > > > Rick Osborn > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > ________________________________ > > > > > > > > > > From: Rick_Miller_98 <rick300m@> > > > > > > > > > > To: [email protected] > > > > > > > > > > Sent: Mon, December 14, 2009 9:53:23 PM > > > > > > > > > > Subject: [amibroker] Seasonality Plot > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > I am looking for some code to overlay multiple years on > > > the > > > > same > > > > > > Jan-Dec axis and to create a composite plot of all of those years > > > to > > > > > > identify seasonality trends. > > > > > > > > > > > > > > > > > > > > Please E-Mail me if you have it. I am willing to > > > contribute > > > > to > > > > > > the cause. > > > > > > > > > > > > > > > > > > > > Thanks! > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > > >
